I was strictly cello off for a long, long time, but after leaving it on a few cigars that I didn't take the time to remove it, I found that it just doesn't matter much ... a very little difference in short term humidifying, virtually none in the long term ... since the cello WILL offer some protection to the wrapper as Mag noted, I tend to leave it on now ...
I find, however, it's still best to take the cello off before lighting the cigar ...