You should never leave your prior service provider without having a conversation with them. If you are changing for insurance reasons, it is a relatively easy conversation. Make sure there aren't any major concerns you should be telling your new doctor, and close out your business. If you have outstanding bills, make sure they are paid so no records are withheld from your new provider. If you utilized multiple services with that provider (mental health, dental, etc.), make sure you close out with all parties involved in your care. They might be able to make a referral for you, as well.