In most cases you need to remove the plywood. The way to tell for sure is to measure the rise at the bottom and top with both scenarios. It is likely that removing the plywood will be necessary so that the bottom step isn't too high and the top step to low. You might not think that 3/4" difference in riser height matters but it does. Much more than 1/8" difference can cause tripping and doesn't pass code.
You should really study up on exactly what methods you will use for joining and fastening all your pieces. If you don't do it right then the excessive squeaking will drive you batty... One issue is how/whether to connect the back edge of the tread with the bottom of the riser. This stops the back edge of tread from flexing.