Fred (or, if Fred is the cat, should that be "Fred's servant" -- as someone who lives with two cats, I know how the hierarchy really works!) --
There really is not a right or wrong way to do this; it is a question of what works for you in your particular setting. I would guess that leaving the cheesecloth on will slow down the loss of moisture a little. That might be a good thing if your cave is a bit dry ... or it might lead to more / more agressive mold if your cave is not so dry.
FWIW, my "cave" is a bit on the dry side (75% RH), but I do not leave a cheesecloth on my cheeses. If a cheese needs more moisture, I use a ripening box; otherwise, I just let the rinds dry as they will. I still generally have to deal with mold from time to time; a paper towel with some white wine on it scrubs it right off. For longer-aging cheeses, where I am concerned about them getting too dry, I generally wax or vacuum-bag once they are at least dry to the touch. If I want a thicker rind (which I like), I may wait a month or more before bagging/waxing.
In the year-and-a-half that I have been involved in this hobby, I have come to learn that very little is absolutely right or wrong when it comes to any part of the cheese making. The question is whether you like what you get at the end, and whether or not you can more-or-less repeat that result -- and learning how to adjust to get what you want. So far, out of the nearly 50 cheeses I've made, none have been inedible (hopefully I have not just jinxed myself!), but I've had some that did not come out the way I really wanted them to. Gradually I have learned how to adjust to get closer to what I am aiming for. As an example, my earlier goudas tasted okay, but were very crumbly and just not very gouda-like. But I have high hopes for the one that is 6 weeks along in aging now -- sharply reducing the length of time in the press kept it from over-acidifying (= crumbly texture), and when I sampled a bit just a few days ago, it seems like it is going to be much closer to what I am aiming for.