Should I clear up a small space with snow against a window?
Sure, snow insulates if it's air tight. Seems like plenty of space between the snow and window for fierce windchill to set in.
Assuming the window is at least double-pane and doing it's job with argon gas then there is not much benefit to having the snow there.
Consider this, the snow will melt and re-freeze several times throughout the season so you're better off preventing the melt from infiltrating the window frame and re-freezing. The sash might not rot but ice doesn't care about the material; water will freeze, expand, and damage, period.
Additionally, don't forget that your window is constantly losing heat and causing this melt-freeze cycle. The weather doesn't have to be above 32F in order for that snow to melt.