I used mine that came with my Iwata for about a year. Never caught a drop of moisture, and though Iwata claims it acts as a holding aid down there at the bottom of the handle, I felt it was just cumbersome so I took mine off about 8-10 months ago.
That said, backups never hurt so if it isn't bothering you, I'd leave it on, Tom.
Just my relatively uninformed two cents. I'll be interested to hear what our airbrush experts have to say when they chime in.