There is no requirement for this type of cover in the first place. It is likely that you were "sold" the cover at the time you took out the mortgage. In any event, cover is usually short-term, eg, up to one year, after which time you must find alternative funding anyway, and is usually very poor value. There will be no penalties by the bank, just decide whether you need it or not, and I anticipate that you probably don't!
On the other hand, life protection is required by lenders, and if the bank sold you a life policy too, either mortgage protection (reducing cover over the term) or level term cover, it may be worth checking if you are still getting the best value. To do this, simply speak with a broker, or try a discount broker and compare prices. I think Tesco are quite cheap for life cover!