Speak with Patong Language School. They are really professional and have been around for over 40 years so offer good advice on things like this and also offer online classes
If you want a hassle free approach then use an agent. Doesn’t matter if you are on exempt or a visa as they just sort everything and beat all the queues etc
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 🤷♂️