Looks like the plastic stuff manufacturers put on new things. You should take off your PCH heatsink and remove it like that plastic sticker is requesting.
That metal shroud is a heatsink for the m.2 drive that mounts below it. It has a thermal pad attached to it. The thin film you see is covering the sticky part of the pad. If you install a m.2 drive there you would remove that sticky cover and attach the thermal pad/metal shroud to the top of the m.2 drive.