Hamish Reid writes:
I had a similar experience Wednesday evening with the VOR/DME GPS A
practice approach into Tracy in good VMC. I explicitly asked for a
practice approach, negotiated with the controller for the missed, and
got switched to CTAF fairly early on. The approach went fairly normally,
then when I came back to him on the (new, improved) missed and asked for
flight following back to Hayward, he says "report cancelling IFR". I
thought maybe he'd confused us with someone else, so I repeated the
request, and got the same terse response. So I cancelled IFR, even
though it was a practice approach; there was no mode c code change or
any other change after cancelling IFR.

When he gave you the clearance for the approach, did he say
"Maintain VFR?" If not, you were really IFR. And that makes
sense, since he subsequently asked you to report when you were
cancelling your IFR clearance. The above exchange sounds to me
like he gave you a new pop-up IFR clearance -- what you requested:
direct Hayward. The part where you asked for "practice" and "flight
following" seems inconsistent with what he was saying back to you.
Are you sure it was the same guy who you started the approach with?