There was no wind lace originally. Some of the headliner attached to sheet metal pieces that had pointy little raised fingers to hold it in some areas. Other areas had the head liner wrap around the sheet metal roof zones and be glued in place. All the head liner edge areas get covered by the headliner trim pieces and "sail panels".
I used the wind lace to hold mine in-place while the glue dried. After that was done, removed it all, put the 'gutters' and weather stripping in-place along with the interior 'halo' trim pieces. If there's even room in there for the wind lace pieces, I don't see any harm in leaving them there, however they're not necessary.