You don't need to remove all of it, as it actually gives the roots some needed nutrients.
Usually, when I order plants, the bulk of the rock wool peels off really easy. You can try to carefully rinse the roots under running water to get off the last few pieces; though that might be difficult to do with the hairgrass. Honestly, though, if you have most of it off I wouldn't worry about it. It's not toxic, and can give your plants that little something extra.