For short-term resting after shipping, leave the cellophane on if the cigar came in cello. The wrapper still exchanges moisture through the cello, but more slowly, which is what you want during the recovery period after a sudden change of conditions. Cello also protects the wrapper from minor knocks while the cigar is settling.
For long-term aging, the choice becomes more personal. Cello on protects the wrapper from physical damage and slows down the integration of cedar and box aromas. Cello off allows the cigar to interact more directly with the cedar trays and any other cigars in the same box, which some smokers prefer because it accelerates the marriage of flavours. Most aging cabinets I have seen contain a mix.
There is no wrong answer for serious aging beyond a year. There is a wrong answer for short rest: stripping cello from a cigar that just arrived from a courier is a way to encourage uneven moisture exchange in the first week, exactly when you do not want it.
The practical rule: keep cello on for the first thirty to sixty days regardless of plan. After that, it is a preference call.
For the broader case on rest as a discipline, see How to Rest a Cigar.