It can preserve the wheel if something happens -- for instance, the derailer gets out of adjustment or a stick throws the chain. OTOH after a few years the spoke mounts can break and it'll rattle. I've left them on until they start rattling and I wear out a cassette -- it's not worth the effort to remove, for me, until both those occur.

If you're more concerned about style points, remove it immediately. If you throw a chain, then you may have to replace a quarter to a half of the spokes on the rear wheel, but you're cool in the meantime.