You can cancel the VM install without penalty up until 14 days AFTER connection. If you really want to cancel under cooling off rights, then you need to notify both VM and O2 separately. Based on what others have reported here you should expect O2 to refuse, likely stating that the 14 days for their contract have passed, that your contract is with them, and they won't release you unless you pay a heavy early exit penalty.
The situation is complicated because you have (as far as VM and O2 are concerned) two separate contracts; As you bought the O2 contract as a bundled offer, VM and O2 are part of the same group and jointly promoted the offer, although I'm not a lawyer, I'm pretty sure the courts (or more likely a CISAS adjudicator) would reasonably conclude that the two contracts purchased in response to a single offer from two related companies constitute a single contract overall, and the VMO2 group have to fulfil all aspects of the joint offer, or themselves be in breach of the contract. If my view is correct, your cooling off rights would start only when both contracts have been fulfilled.
If O2 won't cooperate (which seems probable) you then either pay the early exit penalty, or sit out the O2 contract for 18 months, or you declare war on O2, and do the following: Raise a formal complaint with O2, asking for cancellation of the contract without penalty, on the basis that although O2 may claim the contract is standalone, the offer was a single bundle, sold at the same time by one company for the services of the VMO2 group, is therefore a single contract, and the cooling off period for should start when both companies have fulfilled their obligations. The complaint will likely be rejected, you then need to ask O2 for a "deadlock letter" and with that take your complaint to the industry complaints scheme CISAS. I can't be certain, but suspect the odds are strongly in favour of CISAS deciding in your favour. It doesn't cost you anything to involve CISAS, but it could take a couple of months or more to get all this settled if O2 won't cooperate, and until/if you get released from the O2 contract you will have to keep paying them.
Worst case outcome, if even after CISAS you've cancelled VM but can't cancel O2 - since you're prospectively already in that situation you've nothing to lose by the O2 complaint/CISAS escalation, but you may decide that's all too much hassle, and choose to wait for the installation of the VM connection. Just be aware that some new connections get deferred by VM time and again for months. Forum staff here can't sort out matters relating to O2, so with the best will in the world there's nothing they can do.