If my child holds up the other children's progress, is it okay to keep them in the lesson?

A painful worry, but there's no single right answer to continue or stop. In common: it's worth first discussing with the instructor whether accommodations and devising (a small group, individual support, adjusting how they participate) can let both the child and those around continue without strain. If the burden on both is still large, changing to a place that fits is also a positive choice. What the family decides: "keep trying there" or "look for a place that fits" is your choice, based on the child's feelings and your views. A guide: "is the child enjoying it?" "is there room to improve with accommodation?" "is the strain continuing?" Deciding to stop isn't "running away"—it's an important decision to choose a place that fits the child.