Personal choice and up to you on the cello. I leave it on as it keeps the cigar protected and less prone to mold and humidity variations (to a degree). When I've left cigars out of the cello in my humidor, they quickly the RH in the humidor very quickly. When I charged my humidor, they immediately soaked the excess RH and actually ballooned with moisture. The wrapper became loose and actually unwrapped on several as I moved them to a slightly drier humidor to demoisturize.
For your cigars sake, leave em on.
Cheers,
Grond