Originally Posted by Psimet2001

It's a piece of foam tape used to help protect the caliper arm from scratches caused by the cable clamp when the cable is not mounted.

Basically it is put there for shipment from Shimano's supplier to the OEM. Most OEM assemblers, including LBSs, don't remove it. They leave that up to you.

Lucky you.

BTW - unless you wash your bike after every ride, wince when you hear a rock bounce off of it, or handle your rig with gloves then YES you should remove the tape.