The frenum between my to front teeth is VERY SORE, should it be removed before last tray?

As you said, the gap is now closed so the gum tissue is now in a tighter place than before. The two teeth are pinching it. I recommend to allow the gum tissue to adapt throughout your Invisalign treatment. You only have your last tray to go. The pain should subside in time. Take over the counter pain meds. Bring the frenum pain up to your dentist and see what he suggests. If your frenum gum area gets inflamed, swells up, or unbearable pain, then it’s time for frenectomy.

I would try and keep the area clean and may be use peroxyl mouth wash for now until the space is completely closed.  The frenum is usually removed (Frenectomy) after full space closure and this will help in the stability and keeping the space closed.