Mika Reini, the office manager at Remedy Games (developer of Alan Wake,) has confirmed in the official forum that the rumor of a "big Microsoft's first-party title" getting cancelled has nothing to do with Alan Wake. The official forum moderator's announcement:
Alan Wake is NOT the Xbox360 game rumoured to be cancelled. Please see the comment by MikaRMD at the bottom of this thread.
Also please note that Microsoft still has exclusive publishing rights to Alan Wake (regardless of the fact that Remedy is a third party developer and owns the IP) and as such Alan Wake is NOT going to appear on the PlayStation 3. It is a PC and Xbox 360 title."
MikaRMD (Miki of Remedy) wrote: "This rumor has nothing to do with Alan Wake as we're busy developing the kick-ass game you've been waiting for (unless someone forgot to tell us about it... )"