We took delivery of my wife's Mazda with all the protective sheets still on the paint. Removal was very easy and yes, there will be a slight amount of adhesive left around where the sheet edges were. I took a chance on Mazda's quality control regarding paint condition!
All turned out well. I have not had a chance to fully detail yet but have been keeping it protected with H20 G&G and detail spray during drying. At least we have no dealer installed swirl marks!