I am building cumulative logit Regression model with "PROC LOGISTIC". I wonder how to evaluate the performance of the model. I saw c statistics in the output, may I use that one as we use it in the binary logistic regression (the higher the better)? Thank you.
Yes, you can use that statistic (the concordance index, c) for comparing competing models. See also the information in this note on assessing fit in multinomial models.
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ANOVA, or Analysis Of Variance, is used to compare the averages or means of two or more populations to better understand how they differ. Watch this tutorial for more.