My call blocker seem to have a protective film covering the LCD display. Should I remove it? How?

Yes.  We would recommend that you remove this plastic firm using a thin plastic card (preferably thinner than a credit card).  Carefully insert a corner of the plastic card on the top edge of the LCD display, and then try scraping off the plastic firm slowly.  Once you manage to scrape off a large enough piece of firm to get a grip of it with your hand, gently peel off the rest of the plastic firm from the LCD display.
Watch this video: https://www.youtube.com/watch?v=udLi0X9oBr8