Saran Wrap is meant to seal whatever you put into it. Cellophane is there to protect the cigar - it breathes. Saran doesn't breath very much. Think of it, if you leave a Cigar in its cello for 2 days outside in the open, it'll dry.
However, while Cello breath, it does protect from smell. In essence it prevent different sorts of cigars from exchanging flavors or odors. Buy a cheap flavored cigar in cello and smell it before-after opening it, you'll see what I mean.
Now, I used to still take them off cellos, but after reading a bit I started leaving them as is. Its meant to protect them after all.
Then I got into thinking, wouldn't cello also serve as an additional beetle protection?