A grill is always going to degrade the driver performance somewhat. It will slightly flex and resonate. It will also decrease the efficiency a little, resulting in higher distortion for a given output level. It's slight, but definitely a compromise for the sake of protecting the dome.
This being said, however, it's a very good bet that B&W designed the 802 with the grill in place. Besides reducing the efficiency, that grill probably also increases the tweeter damping since it's so close to the dome. So, if you remove the grill, you're likely to have a tweeter that is slightly too loud and slightly under damped. I've never removed one, but it looks like you might also change the shape of the tweeter rim. This will most definitely alter the response. Best to leave it on.
Thomas