Yes, Using CO makes this a bit difficult as an exit order is sent along with the entry order in case of CO as explained on the below link:
Exiting Bracket Order and Cover Order - MyCoder38
Not using CO would be a better option here. When the DI+ crosses below DI-, the exit order that gets generated would cancel the pending SL order by using the below Signal Rule in API Bridge.
We are already sending 2 orders (entry and SL) so, adding an exit based on defined formula adds one more order which should not be an issue.