If the instructions say to strain them, strain them. Otherwise let em ride.
I think most people here like to strain them out while pouring into the fermenter. Then there are a few who just pour the whole shebang in.
I have never used a Mr. Beer, so I can't say with any certainty what they are after with the hops. Perhaps they want you to leave them in as a way of adding aroma to the brew. Then in another similar thread, people pointed out that the CO2 being driven off will pretty much do away with hop aroma when adding hops to the primary fermenter
Bottom line, it doesn't make much difference either way you do it....