Tobacco is both resilient and fragile. Cigars can last for 50, 60 or even 100 years if properly kept. A cigar can also be easily damaged just from being handled. Manufactures began using cellophane to protect the cigar from minor cosmetic damage to major construction altering damage that could render a cigar un-smokable. The only reason for cellophane is protection.
A great debate among cigar enthusiasts is whether to remove the cellophane or leave it on when storing cigars in a humidor. The cellophane used to protect cigars is made by using cellulose from wood. This cellophane is air permeable and allows moisture to reach the cigar which is what you want when storing cigars. This makes it unnecessary to remove the cellophane when keeping cigars in a humidor.
There is one very minor issue with cellophane. This issue keeps the cellophane off or on debate alive. Cellophane on a cigar will slightly retard the aging process. If a smoker's intention with his cigars is to age them for a lengthy period of time (more than a year or two), I would recommend taking the cellophane off, however, you would not want cigars of differing strength or flavor profiles to age for long periods of time in direct contact with each other. This will cause the cigars to marry changing flavor and strength outside of the aging process. To prevent this most cigar smokers who age cigars purchase humidors large enough to store cigars in their original cedar boxes.
When storing cigars in order to keep them at optimal smoking condition, store them as you purchased them, whether that be with cellophane or without. When storing cigars with the intention of aging them it is recommended to remove the cellophane, however, it is not necessary. The reduction in aging process is minimal and the cellophane protects the cigar from damage. There is one other benefit to leaving the cellophane on even when aging cigars. The cellophane on an aged cigar often turns a beautiful golden hue, a by-product of the cellophane absorbing some of the oils and nicotine of the cigar and also a very visible sign of a well aged cigar. There is nothing quite like showing your buddies an aged cigar by holding the cellophane up to a white shirt or piece of paper and saying, "Check out the age on this."