Is it considered cheating if I purchase an essay but then don't use it?
If your task is to write an essay and you let somebody do it for you, then you are cheating. If you copy somebody's work (even just a part of it) then you are cheating. If you try to let somebody's work pass as your own, then you are cheating.

You are saying that you are not using their work – I hope that means that you are not using their text (in total or parts of it), you have not just obfuscated the text and try to pass it as your own, or have not rewritten the essay in your own words (keeping the ideas and golden thread of the bought essay). If this is true, then (at least in my courses) you would not be a cheater. In all these cases you could replace the bought essay with the essay of a classmate and we would have a very similar question. The only difference is that you have paid money for it.