Shrinkwrapping various parts: remove it?

Sorry if this seems a noobish question, but we’ve started getting various parts for our X8 (e.g. a low voltage alarm, a FPV/OSD setup, etc.) and some of these little components come with a shrinkwrap around them – should I be removing this shrinkwrap, or leave it on? Here’s a for-example: … B005GJCJOA (you can see the plastic wrapping).

Leave it on, it can’t hurt