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.