That pulls the EFE valve closed on the outlet of the pass side exhaust manifold. This diverts exhaust through the crossover under the intake manifold which warms the fuel vapor when the engine is cold. If you remove it on a stock engine, it will be harder to start when cold and the choke will be closed longer.
All the "emissions stuff" is designed to work together. Once you start ripping things off you may have a poorer running engine if you don't know how it works and what to do.
If you are installing headers, then the EFE is a moot point. You'll need to convert to an electric choke instead of the stock "hot air" choke.