If it is a clear filter, I don't see any optical benefit to leaving it in with digital. There maybe some barely measurable benefit when using some films, but the filters over digi sensors get rid of everything except visible light.
On the other hand, I can't see much optical benefit to removing it either. It's buried within the optical system and is not exposed to light from all angles as is the case with filters put in front of the lens, so it can't do any real harm.
There may be more practical considerations. Would removing the filter in some way affect the internal light baffling? I don't know - just guessing. It seems much easier just to leave it there, even if the instruction strictly relates only to film cameras.