Absolutely do not peel more membrane away by the head if there are active blood vessels. You will make him bleed, possibly to death. If there aren't and there is membrane over his eye you could remove that but I wouldn't remove any more than that. And even that isn't necessary.
I don't actually think this one is shrink wrapped, either. With shrink wrapping the inner membrane has pulled entirely away from the shell and is down so tight over the duckling that it can't move. It doesn't look to me like that's actually the case for this duckling.