How old is your tank and what type of wrasse is it? Some species of wrasse are notorious for hiding in the sand for days or weeks after they're added or after they become stressed, so it might not be dead. Furthermore, assuming you used API's Ammonia test kit, it's common to see a result of 0.25 ppm when the ammonia isn't actually that high (since 0.25 ppm is the first step after 0 ppm).
If it is dead and the tank is well cycled, it should be fine to leave the wrasse in there. If the tank is not cycled or has a very low bioload, it might be problematic. Pay attention to your ammonia (I like using Seachem Ammonia Alert) and take action if the ammonia continues to rise by performing a water change or using a product like Seachem Prime.