I've worked in commercial TV sales, campaign planning and scheduling. Never heard of a programme ever being pulled because a sponsor pulled out. Sponsorship is bonus cash for broadcasters. If you pulled your sponsorship you would incur a financial penalty, which would be very large, possibly 100%, that close to transmission. Reason being is the closer it is to transmission, the less time you've left the broadcaster to sell the sponsorship to anyone else because of the time required to do a deal, brief creative, get creative made and delivered ready for transmission.
From the broadcaster point of view, they would just absorb the sponsorship time back into normal airtime and fill with paid spots or internal promos. There would be no need to pull a series.