Peeling it off matters if you are planting into a larger cube of rock wool. If you are planting it and covering it with hydroton, lava rock, then it doesn't matter either way it's gonna grow. If you have a 6 inch rock wool block and you are setting that down on a rock wool slab, then you'll want to prevent the roots from protruding out the sides so in that case it does matter and the wrapper stays on. It also helps to prevent algae from getting all over the place.