No you shouldn't and it won't. Taking it off may even void your warranty, and even if it doesn't it will make unnecessarily complicate a warranty claim.
Those stickers are on top of every HDD since they first appeared, and I've never heard even a rumor of a single instance where the sticker would've caused heating or other issues. I've got 2 of those in a RAID box, never had a failure of any kind.
Thanks to Makyen for additional info. For completeness I include it here verbatim:
In addition to just "it will void the warranty", that sticker, or
other stickers, cover access ports through the outer case into the
drive internals. If those are opened, it's likely that there will be
contamination which enters the drive and could cause the drive to
fail. Such ports are only intended to be open only when the drive is
in a cleanroom. In addition to those, the spindles for the disks and
read-write heads which that sticker covers are areas which present
possible contamination pathways, so should remain covered.
Even if the sticker didn't cover any entry points to the internals, removal can leave a portion of the glue on the surface where omnipresent dust and dirt will stick. That could be removed using the right chemicals, but those chemicals may find their way inside the drive damaging it.
Comment to the unexpectedly lively discussion below
I'm a firm supporter of Right to Repair. I can also understand and support manufacturers' requirement that within wty period the device can only be repaired by entities certified by the manufacturer. Said repair being high quality, done by people trained to be experts in troubleshooting and repairing the devices; not quite like the reputation of repair personnel for a certain manufacturer whose logo recalls a rebellion of biblical proportions.
HDDs however contain no user-replacable or -repairable parts, referring to an average user. Therefore there's no reason to tamper with them in any manner.