Yes it is okay to say "thx for your help but ...."
Firing sponsors is really hard, Im still friends with both of mine but I delayed talking to them about ut bc I didn't want to hurt their feelings or deal with an argument or anything like that. I hate the term "firing "too . I simply said thank you for your help I'm going this direction now. They were both supportive, HOWEVER I have heard cases were there was a disagreement Or a falling out of sorts.
Anyways not sure if aNY of this helps but back to my original point-I think trusting your intuition is really smart and if you arent feeling Com for table with the situation then change it