Mine go through shedding cycles. I blast the obvious shed off with a turkey baster. I will suck the shed out if it is large enough to do so. Otherwise, it is left in the tank. I would make sure that the shed doesn't land on another coral, if you can. If you have a bunch of acros or more sensitive corals, I would try and remove it.
If you have mostly softs, I wouldn't worry about it.