Depends on the material - if cello-based, you can leave it on to protect the box, if poly-based, better to take it off. Today most are poly-based shrink wrap, you can tell by the texture and how it was seal - cello-based ones put on like you paper wrap a christmas present and then seal with a heat shoe, so you can see an the hospital corner folds on the box.

From a cigar point of view less packaging is better, from a collector and protector point of view leaving the original packaging intact is better

Ultimately it really doesn't make a lot of difference unless you are aging cigars regularly for 5 or more years.

BR,

STS