Leave it in! I wondered the same thing when I first got mine.
The design is intentional:
-- denser, finer foam on the outside to break the wind
-- coarser, less dense foam on the inside to further reduce wind that gets through the outer layer, but also to create air space around the capsule and therefore reduce high frequency attenuation.
If the whole ws was the denser, finer foam you'd lose some high frequency sound. If the whole ws was the coarser, less dense foam it wouldn't reduce wind noise as efficiently. You want both, so leave 'em as they are.