There is only 1 reason not to remove it: If you plan to sell them.
Otherwise, if they're yours and yours forever (as far as anyone can plan anyway) then I'd say it's up to you. If you, like me, are collecting the boxes etc. for aesthetics in your home, then it's YOUR games in YOUR collection, so fuck the opinions of others.
As far as protection, it WOULD protect against dust etc., but that's not such an issue w/ the acrylic cases, so I'd say you're good.