While very few things in this world are truly air tight, just think of being wrapped in a plastic suit all the time, or one of those blanket thingys that they throw around marathon runners after they finish a race. Do you know that if you keep one of those things on too long, bad effects can actually result? Your body would be choking on it's own vapors and oils. Sure, the blanket isn't completely air tight, but it's not like your body is going through normal circulation either. Don't forget, your skin is the largest organ in your body, and needs proper circulation.
The same with cellophane. That's why that yellow stuff builds up on the cellophane, with cigars that are stored for the long term inside the cello. There's no way that a cigar without cellophane on, laying in your humidor in all it's totally naked glory, receiving proper air exchange, laying around in the midst of all it's worldwide brothers and sisters, and a cigar wrapped in cello age the same way. A cigar that receives air exchange and that breathes, excreting it's nicotine and ammonia content, and a cigar that cannot, will not age the same. Leaving the cello on can assure you of a nearly brand new cigar, even years later. I've smoked cigars that guys like DocBarry and Vince had kept around since the Civil War in cellophane, and they were pretty "new" tasting.
It's up to whether or not you want to "age" them. If you just want to "store" them, then leave the cello on.
Also, Spider's point about aging mild cigars is absolutely correct, except some mild cigars do age well. One of the best parts of the wonderful world of cigar smoking is the realm of storage. We get a chance to discuss all the different aspects of it with each other, and it's a hobby where one interacts quite a bit with the subject. Paying attention to your cigars, knowing how the different brands age, what they taste like after three months, a year or more, all of that lends to the fun and fascination of cigars.
Many people handle their hobby a bit differently, some folks the same, but it's all about cigars, and all you have to do is get into your cigars, interact with them, and you'll know what's best for you over time.