Yes, you should remove dead ghost shrimp. When ghost shrimp die, they’ll start decomposing, and this process will pollute the water and risk the health of other tank inhabitants.
Moreover, dead ghost shrimp will get cannibalized. If they die of diseases or parasites, their living friends might become ill from consuming their bodies.
Additionally, while it’s normal to see one or two dead ghost shrimp once in a while, it’s not normal to have multiple ghost shrimp die at once. If this happens, you should check the water parameters and quarantine the remaining shrimp in another tank.