Should I keep Alien Containment?
There is no point keeping Alien Containment after you have finished all your alien research or just captured and interrogated an Etheral (which gives you all credit anyway).
In fact - there is a bonus because when you remove the alien containment any extra 'live' aliens will die, and you get their corpses to sell or use.
The only small bug - the engineer and scientist will keep 'verbally' asking you to build an alien containment (like at the beginning of the game).
Note: you do NOT need alien containment to capture aliens for their weapons only.