The leg band is used to identify the bird and contains some pretty useful information (usually, though not always) about the bird including birth year, location, etc. At any rate, removing the band requires a special tool and you risk injury to your bird, such as a broken leg, if you try to remove it yourself. Remember, bird bones are hollow so they're easily damaged by us.
So, unless you see evidence that she's hurting herself by pecking at it, it may be just a handy means of sharpening up her beak, or something along that line, and so harmless and you can ignore it as a quirk. If it does look like she's hurting herself, even a little, then you could take her into a vet and see about removing the band.
In the meanwhile, if you want to encourage her to stop, you can try interrupting the activity, perhaps talking to her and distracting her. Budgies are very smart birds, she may pick up that you don't want to her do that if you persist. In the meanwhile, as long as the band is on her, it's probably not a bad idea to write down the information on it and store it. It's handy info, regardless, and you might need it some day for a trip to a vet.