Do I need to return my work order to renew my social security?

You don't have to cancel the work order when you apply for social security in Wuxi, but your company is right to ask you to cancel the work order. From the work order, you can know that you have dissolved the labor relationship with your original company, and you can see the whereabouts of your file. If you go to the social security bureau to check yourself, you have indeed terminated the labor relationship with your previous company and can participate in the insurance. Other places are unknown.

Further reading: How to buy insurance, which is good, and teach you how to avoid these "pits" of insurance.