You need to let immigration know. If not then you could have difficulty getting future visa’s or extensions. I don’t know anyone that has had issues but I do know someone who didn’t cancel their visa and has had zero issues since but apparently it can cause issues 🤷♂️
Is it a new thing where you need a TM30 to extend? In all the years or visiting Thailand and a hell of a lot of visa extensions I’ve never needed to take a TM30 with me 🤷♂️