I say leave it on. When i'm shifting upwards i usually 'over-shift' to get the chain on the top chainring, i push the leaver further then usuall which moves the derailer past the chain ring so the chain can slide onto it quickly. If i didn't have the plastic disks the chain would slip right past the chain ring and onto the spokes. Like people have said, there is no weight difference and it's just clear plastic so why bother?