Why do I have two OS X Catalina volumes? [duplicate]
This:
And this:
Should I be concerned? Should I remove one?
No, this is perfectly normal for Catalina; it is for security reasons. Macintosh HD has the OS. It is a read-only volume separate from other files on your Mac. Your personal files and data are stored in the Macintosh HD - Data. See this Apple support page for more details.