Why am I still seeing Cancelled Club Members in Club Package?

It depends when the package is created. If the member was added to the package already and then gets cancelled, he/she will remain on the list but will say Membership is Not Active.
If they were already cancelled before you created a package, they will not be pulled into the package when you create it.
You don't need to skip the cancelled ones - they won't get processed if they have that "Not Active" red banner.