I don't close my pool because of location so take my opinion with a grain of salt. I don't see why you'd have to remove the light from the niche unless you were seriously worried about a deep freeze. I don't a thing about Michigan winters but if you've got 6-8" if water above the light and you deep freeze down to that level then that may warrant the effort.

By the way, aren't lights designed to float when removed from their niches?