In a monte carlo simulation, I feel we should never remove any outlier.
The special event we are trying to capture could be an extreme event, such as a deep OTM option getting exercised. Perhaps one in 9 billion realizations is an interesting data point.
Removing any outlier would alter the probability distribution. So our Monte Carlo estimate is no longer unbiased estimate.
However, if there’s a data point with operational or technical error it needs to be removed. Not removing it would also mess up the probability distribution.