I prefer the cigar comes in cello, as it helps protect the cigar from cracking due to sudden temperature and moisture changes. That can happen when being shipped from one climate to the next.
Once I get the cigars home, I will normally unwrap the ones I plan on smoking within the next six months and let them normalize to my humidor. Unwrapping them also accelerates the aging process. You will be surprised how a cigar can change after allowing it to normalize in your humi...normally for the better!!
If you are going to keep a nice cigar for awhile, it won't hurt to leave it in the cello.
Since the cello is made from natural materials, it degrades or breaks down over time. You can normally use the condition of the cello as a gauge for whether or not a cigar is aged. If it is shiny and clear, that cigar more than likely is younger. If the cello is yellowing and starting to feel a little brittle, then normally you have an aged cigar on your hands.
Overall I like the cello for the protection of the cigar for the journey to your home. Once at your home if you have a properly calibrated humidor, it is no longer necessary to keep on the cigar.
Smoke On!
Ben