It doesn't really matter unless a wrapper is on the foot of a cigar where you light it like on the rocky patel edge, in which case you should remove the band. Many smokers say leaving the band on is arrogant and is parading your wealth inappropriately, especially if it is an ultra premium cigar. Others say it is a good indication as to when to stop smoking your cigar when the cigar burns all the way to the band. Both of these theories are just that, and should not be considered gospel, but there is some validity to them.
I personally like to leave the band on so I can continue to be reminded of the prestige of the cigar I'm smoking, as well as admire the thousands of dollars the cigar company has put into making a snazzy band. However, if you need to remove the band, whether due to the fact that the cigar still tastes amazing even though it is burning close to the band, or you just like a natural smoking experience, make sure that the cigar is warmed up first. If you try to remove the band before the cigar is warm, the glue that adheres the band to the cigar will still be hard and some of the glue that has dripped off the band will rip the wrapper leaf right off. Before you remove a band, let the cigar smoke for 15 minutes to warm up the glue so that it doesn't rip the cigar’s wrapper leaf.