Sometimes it's necessary to remove it, it can be done by very gently squeezing around the leafs where the membrane is attached and/or by very gently scratching upwards with a finger nail and catching the edge of the membrane and slowly peel it off but be careful when it's almost off, it's sometimes tightly attached to the tip of the leaves with tiny hooks and pulling it too hard can rip the leaves/stem all the way off. tearing can be avoided by grabbing the leaves below the membrane between two fingers and pulling the membrane slowly off with the other hand.
Gently rubbing the membrane with your finger tips can loosen it and make it easier to remove.
If you're carefully and don't wait too long before attempting the peel off, it's almost guaranteed to work, if you wait too long the stem gets weak and can break quite easily when handling the seedling.