Should we remove ilm policy first before switch to another?

Would it get problem if switch another ilm policy directly, not remove first?

If you switch policies by updating the lifecycle.name in the index settings, the change will not take effect until the currently executing phase of the previous policy completes. This is explained in a little more detail in the docs for "Switching policies for an index". As long as you are all right with that behavior, then updating an index policy directly should be fine.