I do too, but I do sometimes consider removing them just for space-saving reasons. It may not seem like much of a difference, but they do add up.
Do they actually though?
If your collection is large enough, yeah. I could believe squeezing an extra movie on a longish shelf after removing the slips. Especially since you often end up with a gap that’s _almost_big enough to squeeze in an extra title at the end of the shelf.