I think this may have been changed recently
You might have to cancel your application - you’ll be told if you have to do this when you ask for your documents back.
For Nationality application (ROA) it seems there is option to recall without withdrawing. I have also called them to confirm . But not sure if it will delay the application and we will probably have to resend the documents back. For other visa types (Tier, ILR) there is no option to recall without withdrawing.
But then there is still the issue of baby travelling without COE
LittleMissSunshine, Is the COE is for yourself or your baby ? Did you have problem travelling or returning to the UK without the COE-ROA ?