The delete with the cascade option only applied to tables with foreign keys defined. If you do a delete, and it says you cannot because it would violate the foreign key constraint, the cascade will cause it to delete the offending rows.
If you want to delete associated rows in this way, you will need to define the foreign keys first. Also, remember that unless you explicitly instruct it to begin a transaction, or you change the defaults, it will do an auto-commit, which could be very time consuming to clean up.