People have success either way. Go with what you prefer.
I personally like to keep my wort as clear as possible and leave the trub behind in the kettle. I believe, but don't have any evidence for, that a cleaner wort produces a cleaner-tasting beer sooner, i.e. not requiring as much aging. It may also impact haze to some extent. But this is just speculation on my part. Again, go with what you prefer. You can always switch it up later and see if you notice a difference.
The Fiesty(sic) Goat Brewery est. 2007 & Clusterfuggle Experimental Ales est. 2009
Primary: Saison, Berliner Weisse, sLambic I, sLambic II, IPA, 70/-
Secondary: Orange Blossom Mead, Flanders Red I
Kegged: Fat Man Porter w/ 1469, Fat Man Porter w/ 005, Centennial Falcon w/ Conan, Centennial Falcon w/ Denny's, Barrel-aged Fat Man Porter, Belgian Dark Strong, Dark Mild