Dumb question. Is there ever a reason why you shouldn't take the slag off in stick welding?

Flux is my forte, but I'm currently employed as a stick welder. I don't have my experience in stick, but the other welder does. We're building a roof and when I tried to take off the slag with a wire wheel he told me to stop and leave it there because the slag "protects the weld". I've never heard such a thing. He was being dead serious too. He says he's been welding for over 5 years.