You can just remove it, but it's there to prevent crap getting on the discs or anything getting trapped on/around the discs and suspension, or dragged into the pad (which could trash it or stop it contacting the disc properly). Braking would be far more likely to be affected in big puddles too.
I wouldn't go removing it and not replacing myself...
I think I've read on here that replacing the front ones is a bit of a nightmare? (Hub has to come off maybe???

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No doubt someone that knows will be along to comment or it could be worked out by looking in the manual.