Certified GKH Gardening Expert
If you leave this, there is a potential that it will grow an edible fruit when peeled. If you pluck it off, it will help the plant look better, but there will be no fruit. It is up to you, and either can be fine.
This article is on the prickly pear that is assumed to be tropical, but there are many subspecies that are very hardy with the same care, so this will give you more information on the care of these: https://www.gardeningknowhow.com/ornamental/cacti-succulents/prickly-pear/growing-prickly-pear.htm