I have the Sabertooth board, which also has plastic armor similar to the ROG armor from what I've seen. While some people say that it "traps heat", at this point I havent really noticed any abnormally high temperatures for either my cpu with 212 evo cooler or gigabyte gtx 760 gpu. Personally I liked it as a first time builder it allowed me to worry less about accidentally hitting something and snapping it off or dropping something
So you will probably be fine.
*I haven't yet overclocked any of my hardware, so it might be more of an issue at higher settings, but even then I haven't seen much concrete evidence that it makes a large difference. If you find that your temperatures are abnormally high from what you expect then you can, as you've read, remove the armor, it's just a hassle.
The armors purpose is to mostly help prevent dust from accumulating on components. More than anything though it just looks nice, I love the one on my Maximus Formula VI and I love the metal back plate which helps give the board a much more rigid and stable that others don't have. When I was plugging in the 24pin or other power parts I didn't get the bend I do on normal motherboards.
As for causing heat to build up, I doubt it. Mainly because Asus tests their boards for these kinds of thing and wouldn't release them if this occurred as they would have too many RMAs on their hands.