To me it really depends on how the collectible is packaged. I once saw someone discussing whether or not to open Sideshow action figures (which are, of course, pricey). Their argument was this: "If I leave a figure in the box, I paid money for a box." I thought that was funny and true!
But it is stressful, removing something collectible from a box. I mostly stick to cheaper merchandise, so to answer your question more from my own perspective I'll say that I leave the packaging intact if it easily and neatly displays the toy/figure/collectible. No over-sized boxes, must have a clear front (as opposed to, again for example, Sideshow boxes are large and simply show a picture of the figurine; you have to open the flap to see the actual product), basically needs to showcase what I paid for. I definitely prefer to display in the packaging when it meets these standards. As a positive example, Pop! figures display great without needing to remove anything!
For anything in a bag (like mystery minis) I always open it up and display them on a shelf with no packaging.