I finally decided to cancel my card 3 weeks ago - I'm into my new BA Amex year so my Amex spend will be pushed onto that until the time my Amex Gold renewal fee is due. Card is now showing as cancelled online, with a c £30 credit for the pro-rate annual fee refund.
It is not yet clear if they will send me a cheque for this £30, pay it into the account my direct debit comes from or (as I requested) credit it against my other Amex cards.
Next step ... apply for the SPG Amex!