I wouldn't mind as long as the rules are still being obeyed. Of course I don't know how others feel exactly.
However... the old saying "build and forget" applies to almost any case. Of course if your sponsor is dead there is no need to send traffic into limbo. I think everybody will agree that you should change your links.
But if it is just a "poor" performing sponsor... forget about it. That sponsor might be converting like crazy next month
