It depends on what the sticker is made of. Regardless, unless it is a thick sticker it won't block enough heat transfer to matter much, but you will always be running a bit hotter than your system thinks it is. That will impact fan speeds and performance, though not to a large degree. Should you remove it, clean everything carefully, replace the thermal conducting compound and reinstall your LC, yes. Do you really have to, not really.
BUT if you choose not to do anything with it and you have a failure for any reason - related or not - improper installation may void your warranty if that is a concern factor for you. Generally if you are here it's not a concern, but it is good to be aware of anyway.