You don't have to keep the policy and you don't have to buy another one. The insurance might not like you cancelling the policy, but why should you continue to pay for something you don't have anymore.
It's somewhat like when you get hit and you own your car outright. The insurance writes you a check to repair the car and it is your choice what to do with the money. You can take the check and repair the car or you can pocket it. It matters not to them.
