Eh, I wouldn't, but I could hardly say it's "incorrect," in the sense that in this sentence "say" adds nothing to the sentence at all, so it would still translate appropriately.
In terms of proper, Swahili, "Je" is actually not optional for these sentences. When there is no interrogative in the sentence(like lini, nini, wapi, etc.) you are supposed to begin the sentence with "Je" to convey the idea that it is a question. So it does have a meaning, just not one that we use in English. However, in casually spoken Swahili this is not common. In fact it is almost never used by Swahili speakers.