Not 100% and haven't taken a chance to look at mine, but I would assume it has something to do with balancing the fan blade. Although I'm not sure why the blade wouldn't be balanced to begin with.
I’m guessing it’s not supposed to be there and was just never taken off from the factory. It’s just a clip, not holding a weight or anything. I’ll try taking it off when I have a minute. Maybe it’ll add some extra hp I’ve been missing!
The fan is plastic, it doesn't need a large amount of weight to balance it out. No manufacturing is 100% perfect, that's why ceiling fans for example, come w/ small weights.
I'd leave it alone.