I have double cousins in my tree and from experience you definitely need to remove the duplication as this will cause major headaches in the future. My solution would be as follows;
Mary and Ann are sisters married to John and George respectively who are brothers. Simply break the link between all four and all their parents. Now merge the two parent sets of Mary and Ann. Obviously the less ancestors entered the easier it will be, but keeping the parent set with the longest ancestor line is your best bet. When this is done simply relink Mary and Ann to their "new" parents. Do exactly the same for John and George and "Bobs your Uncle".
REMEMBER TO BACKUP YOUR TREE BEFORE YOU START THE PROCESS.