For short term storage, meaning going to be smoked and not intentionally aged, I would leave the cello on. For boxes that you are intentionally storing longterm, I would take the cello off and then wrap the box tight, IMO.
We've all seen the yellow or even brown cellos from aged cigars, as well as the plume stuck to the cello sometimes. It seems to me these oils would have been better off staying with the cigar than being wicked up by the plastic.
So minimum air exchange and no wicking material for aging, leave cello on for protection of the short term smoking stock.