Hi Tomek,
Others on this board are far more experienced than I am, but I will offer at least an initial attempt to answer your question. The importance of the gas exchange will vary depending on the type of cheese. In general, I suspect that all cheeses could benefit from some gas exchange, or that allowing this exchange would create particular flavor profiles ... but some cheeses are traditionally waxed, and in more recent times, some award winning cheeses have been aged in (horrors!) plastic vacuum packs.
Some cheeses, however, simply CANNOT be sealed - the soft cheeses that depend on mold or bacterial ripening on the surface, such as camembert. Sealing these would stop the ripening.
For camemberts or other cheeses that need to breathe, I either use special cheese-wrapping paper or a ripening box.
For other cheeses (i.e., hard or semi-hard), I vacuum-bag them, but only after they have had two or three weeks to ripen unwrapped in the "cave." By that point, a good rind is developed, and they have had a chance to develop flavor. By that point also, as best I understand it, all of the lactic bacteria are dead, so hopefully oxygen is no longer a major issue. Since my cave runs on the dry side, I don't want them to dry out too much, so vac-bagging (or waxing, but vac-bagging is easier) helps them to maintain a desirable level of moisture. I have no idea how my results compare to the real experts, but I can say that I and others who have tried them have been quite happy with the results.
I hope this helps!