Do I need to remove the thin plastic film that covers the capsule first or I can just place the capsule with the thin plastic covered right in the slot?
The capsules are ready to go as is. You just remove the capsule from the bag and put it in your camera housing.
The moisture muncher capsules you bought are filled with crystals that absorb moisture from the air, and as they do so will lose their blue color and become pink-ish, indicating they are no longer capable of absorbing any more moisture. They are sealed in a plastic film to prevent their exposure to atmospheric moisture before they're purchased. It's important that you remove that film just prior to placing them in the camera housing or they will stay nice and blue, but not be doing anything for you! Just be careful in removing the film so that you don't damage the capsule itself, and let the crystals leak out into your housing. The capsules are pretty robust and it shouldn't be too hard to get the film off.
I hope this helps. Good luck with your underwater photography!
The capsule goes into the slot as is. In other words, the blue crystal stay inside the capsule in the same way that you don't break open the capsule medicine that comes in capsule form.
Hopefully, this answers your question.