Welcome, and really its totally up to you.
How do YOU want to collect? Do you display said CE boxes out in the open or do they just sit piled up in a closet/basement/storage bin/etc. somewhere?
Me personally, if there was an outer sleeve on the package, I would consider it "incomplete" if I was purchasing it and it was not included. So purely from a re-sell standpoint I'd recommend you keeping them. But if you don't want it to cover your display boxes, most of them can be folded up without too much hassle, just fold them flat and keep 'em between tWo pieces of cardboard to avoid any damage would be my recommendation.
At the end of the day though your collection is YOUR collection - there's no necessarily wrong or right way to do it, well, at least in my opinion.
