In Texas, at every E&O course I have attended, this is mentioned. The advise we are given is that you must do for all what you do for one. So, if you notify customers that the policy is in cancellation or cancelled, you must make sure that you notify everyone of your customers of the same thing. By the same token, if you choose as an agency not to notify, then you must not notify any.
Our policy is to send an email or letter out that the notice has been issued, and the same if/when the policy cancels. This has, at times saved an account. On the other hand, some of the ones that are in cancellation are ones you would just as soon not keep, but you have to notify them anyway, so sometimes they just keep sticking around.
The take on it from the "people in the know" that I have talked with is, in Texas, is there is no "law" that you have to notify them.