Hi there Emjey.
Yes I upgraded my K3 Note to Marshmallow. Seems there is no much difference with Lollipop and Marshmallow. I've been using this for a day and as far as I've seen, the issues are
1. Phone is heating more than when it was running Lollipop
2. Mobile Data gets on automatically after restarting the device
3. Battery capacity went quite low - I'm testing this. I'll let you know if its really discharging or whether it is my imagination
And to answer your question. You don't have to remove your SD card before updating. Make sure that you have a back up of important data such as contacts, apps, etc. (I prefer Mobile Companion app for this) as I had to hard reset the phone after the upgrade as I got a message saying that my SD card was slow. Apart from these, you must be good!