Running with inner tubes equipped with sealant liquid, should we remove visible thorns etc or not?
You should always remove the thorns as soon as you see them. There's a good chance that if you're diligent about it, you'll get them before they even get through the tyre to put a hole in the tube. For ones that are already embedded deeply enough in the tyre to puncture the tube, removing them will prevent them from making the hole bigger than it already is.
You should remove them carefully in a way that allows the sealant the best chance of fixing the puncture. To do this, begin by resting the wheel vertically such that the thorn is at the bottom, near the ground. You then leave it like this for a few minutes. Gravity will cause the liquid sealant in the tube to pool at the bottom, near the thorn. Once you pull the thorn out, the sealant should plug the hole almost immediately, but it's still best to leave the wheel with the puncture at the bottom for a while for best results.