Don't quote me - never had it done (lol would have to find belly button)
but have been told that if you don't take it out, then it will pop out as the skin becomes so taught.
But then I guess that depends on how big a baby it is and how you are carrying.
I'd leave it a while and if you notice any discomfort then take it out and possibly for the final month just in case baby comes early - last thing you want is an in-ept doctor/nurse/midwife to catch it and rip it out.