If you remove the algae, that is all the less nutrients that are in the pond for more to grow.
The answer is no, you don't "have to" remove it, but will help the pond if you do. If you do, place it in an area that won't see water running through that area back to your pond because as it decomposes, the nutrients could run right back to the pond. Just pulling it out of the water won't do much good.
