Nope they are made to act as a heatsink, unless you have one of those mobo's that has one of those built in heatsinks to be put on an M2 (not sure where you get the .5 from) drive then you might want to remove it
Because my motherboards have HS for M.2 I carefully peel off and stick to the plastic case it came in just in case I want to put it back on. In recent years manufacturers have stopped slicing the labels to make it impossible to peel off because of the debate that raged some years ago about "Warranty Void If Removed". Now that they can no longer make that stick, pardon the pun, peeps can remove them if they wish and maintain their warranty. I've had no trouble doing this with Corsair, Samsung and MYDigitalSSD M.2 drives but I've not had to RMA a drive either.