Al,
I got one about the same time you did. Can't remember if it was 04 or 05. I kept the weights on and they've never been an issue. I think They just assume that the weight of the loader is enough. I didn't have my tires loaded so I kept them on. I am gonna load my tires with ww fluid this summer but I'll still keep the weights on.
Sometimes when I am "floating" the loader the front wants to come up. I would imagine this would happen much more often if the weights weren't there.
PS: if you decide to keep them off let me know and I'll give you my address to where you can ship them

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-Tim