Of course it's necessary.
You should peel it off. It's used to prevent scratches on the shell during transpotation. Firstly, it affects the appearance. Secondly, it affects heat dissipation.
Its thermal conductivity is not worse than that of the refrigerator coating. You needn't tear it off.
Protective film is used to protect the surface from scratches. Yes, it's necessary to peel it off. The refrigerator will transfer the heat from liner to the box to dissipate it. But the protective film will block the dissipation of the heat.
