Don’t worry about the time taken or heat. For those things, the machine takes care of itself.
If you are doing very light engraving sometimes you want to take the masking off. If you are engraving anything covered with plastic film instead of paper masking, removing it usually seems like the right move.
If you are unsure, leaving masking on is usually the right move. It helps to keep smoke and goop from getting on the rest of the material.
GS hinted at it, but the reason to remove masking is usually to allow subtle details in engravings to be transferred to the material, as opposed to being “soaked up” (or masked) by the masking paper.
You have to test a section of your desired design on the target material with and without masking to ensure you’ll get the result you’re expecting. I’d wager virtually every member here has experienced loss of detail because the masking was left in place.
On the other hand, if you are cutting or scoring, the mask will protect the surface from the charring/staining that the vaporized material will leave on the surface.