The core file contains the memory state of the work process at the point it was terminated. You could use it for debugging the work process if you had access to the kernel source code, which you don't unless you are SAP. For most people, then, the core file is of no interest and just takes up space in the operating system's file system. Using "cancel without core" is the thing to do.
That said, sometimes I find "cancel without core" doesn't actually work but "cancel with core" does. I always try without core first, but occasionally have to resort to with core. If you do cancel with core, make sure to go and delete the core file afterwards to avoid the file system filling up. Work process core files can be large. You'll find it in a directory/folder here - /usr/sap/SID/DVEBMGS00/work (substitute DVEBMGS00 as appropriate).
Steve.