It depends on what the texture of the crust on the the bread you are using is. If the crust is soft and pliable, leave it. If the crust is tough or rigid, then cut it off. For example, when we use Texas toast-style bread, we leave the crusts on because the crusts are soft. On the other hand, when we use sourdough bread, we cut off the crusts. Sourdough crusts are tough and chewy, and don't allow the sandwich to compress the way it needs to.