Can I use bacon wrapped tenderloins for my individual beef wellingtons? It should i remove the bacon?

Yes you can and I would remove the bacon as it would change both the flavor and moisture content of the recipe's mushroom duxelle.
Often indivdually wrapped, bacon wrapped filets are injected with a preserving liquid to keep their bright red color. This liquid might also alter the intended recipe in a negative way so if this is a special dinner I would have the butcher cut individual pieces from a whole tenderloin to your recipe's exact specifications.