It's there for a reason. Old, or cheaper newer ones have pins sticking out to put some preasure on the I/O shield to hold it in place. The one you have has a better solution, so don't remove it. If you do, it will be looser when the motherboard is pushed into it.
EDIT: here is a picture of an old one:
Always annoying when the network pins got into the socket instead of on over it.
And on yours, if it was intended to be removed, it would be a sticker that said it.