It really depends on what you want to do with the card, if it is purely a PC item then just peel the card and reveal its true beauty. But if you are planning to sell it, you might want to keep it on because it simply gives you the choice later on to peel.
In some cases, if you plan to send it in for grading, you might actually want to peel it off because damages to the protector counts against your card. You rather have a spotless peeled card then a scratched unpeeled card. Personally, I see no difference in peeled or unpeeled versions, its the same card, cards are never meant to have protectors anyway...