It‘s an 05 Cobalt, if so what should I do so i can remove it.
The factory car alarm is not connected to the radio in a Cobalt. The radio has an anti-theft system called Theftlock, but it's not an alarm; it just means the radio won't work if you install it into a different vehicle.
but if you don't use the correct harness you will lose all your warnings, also air bag light low fuel and later the cluster will stop buy the correct radio harness
No it will not go off. stuff that will set a car alarm off is breaking the windows opening handle when locked and loud noises it hould just pop out.