This is a very good thing, that shows that you have a well colonized mycelium network. The mycorrhizae are beneficial fungi that help in the facilitation of nutrients, they convert the nitrides to nitrates that are easily taken up by your plants. Plucking that shroom wont hurt, but it also wouldnt hurt to leave him there. By leaving them, when the fruiting body (the shroom) dies, its releases a lot of nutrients back into the soil, to be once again broken down by bacteria then converted to nitrides, then the fungi starts again by making more nitrate. I highly recommend everyone purchase some sort of mycorrhiaze innoculation for use on each and every plant that goes into soil. I use "myco madness" seems to work very well.
EDIT: forgot to mention their importance in uptake of phosphorous. They are really really really important during flowering, as when the PH of your soil starts to drop, with the addition of nutrients, they provide intercellular exchange of phosphate cations, which is very good for your budding plants.