You can try to remove it, although it depends on how you do it. There are many ways to do it, yet none are always easy.
Make sure he's had a nice swim or good run through a warm damp towel and then see how he is. I personally would go for the damp hide route for a day before trying to remove it.
I would agree with Kehhlyr- just giving him regular baths and using a damp towel should help. You can also raise the humidity in the viv for a few days before the next shed to help him shed it on his own.
Some people do try and get retained eye caps off with a cotton bud, but I would not advise this unless you really know what you are doing or as a last resort as the eyes are so easy to damage.