I assume you are talking about märklin locos. Yes, you can remove it but, it makes the contacts to the brushes sooo easy. And the tension of the brushes to the commutator contacts. Why would you want to mess with it? It is mostly for EMI (radio interference) but also suppreses the high voltages when the brush contacts are released from the motor coil contact (think your automotive coil’s spark).
Ditto for the MTL locos. AZL uses 2 inductors (in parallel under the board) and a capacitor. However, the motor design has very low emissions issues.