Don't think of it as the umbrella catching the wind like a sail boat. Think of the umbrella as a really ineffective way of redirecting the air backwards which is what pushes you forwards. If he wanted to go way faster he'd simply drop the umbrella and point the blower backwards.

The forces do not cancel out. Draw the free body diagram like you were taught in physics class:

Air coming out of the blower is pushing him back with the force F. Air reflected from the umbrella is pushing him forward with force 2xF, because the air is reflected and not absorbed. So he is propelled forward with net force F.

Now, there are some losses as the air travels between the blower and umbrella, and there are further losses since the air isn't blown exactly back but at an angle. That means the net force is less than F, but will still be in the forward direction as long as the losses aren't too large. There is nothing impossible about the setup. It's similar to him pointing the blower backwards like on a hovercraft, except less efficient. If you're still not convinced, think of him shooting a laser at a mirror and having it reflected backwards.

We need a video of a guy with three or four of these pointing up, and the guy can fly around.

It would work. We know helicopters can fly.