Removing the band after smoking for a few minutes reduces the likelihood of the wrapper leaf being damaged in the process. While some prefer to keep the band on for the duration of the cigar, others prefer to remove it. Of course, it's entirely up to you whether you wish to keep it on or not.
Bands are attached with a gum adhesive also known as gomma, and if too much has been used, some may have seeped from the band onto the cigar's wrapper. If this has happened, the band, when removed, may take some of the wrapper with it.
Smoking the cigar for a few minutes first will soften the glue and loosen its hold on the wrapper, thus allowing you to slowly remove the band without tearing the outer leaf.