I would definitely remove the band if you are capable of doing it safely or take to someone who is, as it could get hung up on something and kill or seriously injure your bird. It is an annoyance to the bird also and IMO I don't think they ever REALLY get used to it. Would you if someone put one on your leg? If you lose the bird, you should run ads in the local paper etc. in the lost & found section & if someone who found the bird wants to return it, they will look there unless they are clueless etc.

....If someone finds the bird who has no intention of returning it, they will remove the band anyway in a matter of minutes.....Birds are supposed to have unique scale patterns on their feet so you might take some close-up pictures of the feet and use that for ID purposes......The band would help now if the bird flew away out of your local area but still IMO the risks outweigh the benefit......JMO