Withdrawing my application for a research fellowship when getting a job elsewhere
It is customary to withdraw your application(s) as soon as you have accepted a post elsewhere. By doing so you increase the chances of fellow applicants to be shortlisted / admitted to the next stage.  Also, non-attendances and late withdrawals create a considerable mess at the interview stage, and it is better not to annoy your prospective colleagues, with some of which you may need to collaborate in future. 

Actually, prompt communication is typically a win-win situation, and unnecessary delays in communication usually give nothing good to anyone (despite maybe some illusion of control).