Q.clearing lemons off the tree in winter
Should I remove all lemons from my tree in the winter? Typically I don’t but I thought I should ask.

It's not necessary to remove them, but if the do use water and nutrients to develop and put some stress on available resources for the tree. Remove the lemons that you are not going to use, especially the over-ripe ones as they fade, brown and shrivel or sustain frost damage. If there are lemons still ripening that you will use, then no need to remove them.
Prepare for possible freeze warnings and cover the tree to prevent frost damage.