The red wire generally has two functions depending on how the ESC is designed. If the ESC has a built in BEC ie it can provide voltage to the receiver, then the red wire is used to provide that power. So, if this is being plugged into a receiver that already has power such as the WKM MC then you need to cut the red wire otherwise you risk damaging both the BEC in the ESC or, more importantly the BEC in the WKM system. BECs do not like running in parallel.
If the ESC has no BEC then the red wire is often used by the ESC to power the Opto part of the ESC and so the red wire is uesd to draw power from the WKM MC thus you will need to leave the red wire in place.
If the ESC is not clear as to if it has a built in BEC or not then simply power up the ESC on its own (making sure the motor leads are isolated) and put a volt meter across the red and black leads of the ESC to WKM cable. If this cable is not colour coded then the + and - leads can be identified by the plug. Look at the plug and make sure you are looking at the side where you can see parts of the pin. Looking at this side, the far right pin is - and the middle pin is + ie the one you decide to cut or not.
If you do decide to cut the red (+) wire then my advice would be to do it as near to the plug as possible. Putting on a new plug is relatively straight forward and will mean that if you upgrade ESCs later you can still use this ESC in another application etc etc