Getting a Tier 1 visa but not using it

I applied for my HSMP visa in June. It has since changed to the Tier 1 visa but it is basically the same thing. I am expecting to get the approval lettter in the next few weeks and must then sort out the entry clearance. The problem is that because it has taken so long I have been offered a really good job in Dubai. What I'd like to know is what I should do and what I'm allowed to do.

Should I get the entry clearance, fly to London and activate the visa and then go work in Dubai? Would this be allowed? At least then I still have the visa in case Dubai isn't for me. Or is this not allowed and once they see that I wasn't working on the visa then it can affect any further visas or visa extensions etc. ?

If I shouldn't do this then would you reccommend that I get hold of the Home Office and cancel my application before they approve it?