Case of Scrum Review

On the surface, it seems that the Development Team met their sprint forecast and Sprint Goal as it was presented to them.   So where is the disconnect?

The primary responsibility of the Product Owner is to maximize the business value delivered by the Development Team.   Where is the Product Owner in the explanation of your situation?   How did the Development Team complete an entire sprint apparently unaware of the company's future strategic vision?

Should sprint be cancelled or continue?

Unsure what you are asking about, since you started your explanation with "At the end of the sprint...".

The Development Team gets its cue for what is the most important "stuff" to build from the Product Owner. The Development Team is involved in the process, with respect to giving input about technical dependencies or the costs/benefits of ordering the work in different ways, the ultimate responsibility and accountability for optimizing the value of the Development Team and optimizing the value of the work performed by the Development Team falls squarely with the Product Owner.

Just based on this description, I would want to look at the Product Backlog management, specifically how the Product Backlog Items were identified and ordered by the Product Owner. I would want to know why there was such a serious disconnect between the stakeholders' vision and the Product Owner's work to set the Product Backlog in a state that would help to realize that vision.

As far as what to do, it depends.

The advantage of the agile methods is that you can see early and often if the direction of the effort aligns with what the stakeholders need or expect. Misalignments can be corrected. What to do depends on how far apart the current state is from the vision. Canceling the product is one option. Taking a moment to reassess the Product Backlog and reorder it is another. The fortunate aspect is that this was discovered after n Sprints, rather than after the team implemented a "finished" product many months after starting only to find out much later that their work wasn't suitable for stakeholders.

At the end of Sprint, the company management is dissatisfied with the work done.In the sprint review,they state that the results of the work done are not appropriate for the company's future strategic vision.

Do they think this is a timely way for stakeholders to give their input to the Product Owner?

PO must agree with the development team what Items are to be delivered in the Sprint, this should be agreed during the Sprint Planning.

If the Stakeholders are unhappy with which Items we delivered then they must talk to the PO and reprioritise the Backlog.

The Development Team should continue working throughout.

I'm going to agree with everyone else that the heart of the problem seems to be the Product Owner.  And since you said nothing about the Product Owner in your post it almost sounds like there is not one.  

So,there is a gap between opinion of the head of organization and development team.

Yes there is a gap and that is by design.  That gap is called a Product Owner.  If you are the Scrum Master you should be working with that individual to help them understand how this situation occured and how to prevent it in the future.  If there is no Product Owner then you need to be working with the organization to understand why that role is important and needs to be filled in order to take advantage of the Scrum framework in a successful way.

The Scrum Guide states that Scrum Master provides the following services to the Product Owner (emphasis added by me)

The Scrum Master serves the Product Owner in several ways, including:

• Ensuring that goals, scope, and product domain are understood by everyone on the Scrum Team as well as possible;
• Finding techniques for effective Product Backlog management;
• Helping the Scrum Team understand the need for clear and concise Product Backlog items;
• Understanding product planning in an empirical environment;
• Ensuring the Product Owner knows how to arrange the Product Backlog to maximize value;
• Understanding and practicing agility; and,
• Facilitating Scrum events as requested or needed.

The Scrum Guide states that the Scrum Master provides the following services to the Organization (emphasis added by me)

The Scrum Master serves the organization in several ways, including:

• Leading and coaching the organization in its Scrum adoption;
• Planning Scrum implementations within the organization;
• Helping employees and stakeholders understand and enact Scrum and empirical product development;
• Causing change that increases the productivity of the Scrum Team; and,
• Working with other Scrum Masters to increase the effectiveness of the application of Scrum in the organization.

Be sure to help everyone understand that this is not catastrophic and it is an opportunity to inspect and adapt based on the information that came to light during the Review.