definitely. if you leave foam on there, it startes breaking down after being in the tank for a long time, and then if you go to uproot the plants, or disturb the gravel nearby, it makes a HUGE mess. it is definitely worth the time to sit and remove as much of it as possible.
Another reason to remove the foam is to prevent abnormal levels of nutirents from getting into your closed system - could throw things way off and get algae.
As Dangerdoll said, be carefull, sometimes if they plant has been potted for some time, it can be tricky to remove the foam with out breaking the roots.