No, you do not need to remove the shells unless you see a specific problem.  Then it is a judgment call.  The only time I've ever opened the incubator during lockdown  because of an egg shell from one that has already hatched was when a half shell wrapped around an egg that had pipped in a way that the later egg could not hatch.  
Some people open the incubator during lockdown quite a bit, others never.  I'm in the group that does not open the incubator until the hatch is over unless I see an emergency I need to deal with.  The issue is that it is possible that you can cause a chick to get shrink-wrapped by opening the incubator after a chick has pipped.  The membrane around the chick can dry out because of the drop in humidity and shrink tight around the chick so it cannot hatch.  
That does not happen to every chick that has pipped, from my experience it doesn't happen all that often.  But it can happen so I consider it good practice to not open the incubator unless you have a real reason.  But if I have a real issue to deal with I will open it.  To me, removing the empty shells would be a frivolous reason to open it and unnecessarily expose the eggs to damage.