The plastic ducts are there to help with airflow from the server's internal system fans. I'm not too familiar with HP servers (I'm a Dell guy), but there should be small fans sitting vertically in front of those ducts. The fans pull cool air from the front of the case and push it directly over critical components. The warm war is then exhausted to the reat.
All complete servers I'm aware of ship ready to power-up. Anything which needs to be removed before operation should be clearly marked on the outside. It's not like a laser printer where you have to practically disassemble it to remove all the strips, tags, separators, and tape.