1) I should remove those related policy first?
Yes, policy releated to the interface should remove first.
Then you can remove any address objects and the interface
After the interface is removed you can remove the zone if that was the last interface in the zone
2) Is it allow to unset ethernet0/3 IP directly from CLI or GUI?
The commands can be run from either the cli or the gui.
In either case you will get an error if there are still related objects that need to be addressed first.