IMO, you should always just leave the cellophane on.

Cellophane is pretty porous, so the moisture will still get to your cigar. I don't know how much of a difference it makes with "marrying" aromas with real cigars, or if it makes any difference with flavoreds.

If you store flavoreds together, all their aromas are pretty strong. They're GOING to mingle. There's no escaping it if you like flavoreds. You can get dividers in a humidor and help separate them a bit.

Also, some people like to leave the cellophane on when they cut their cigars, to help keep their cutters clean. No real reason to take the cellophane off, imo.