Like others, I leave some, remove others. Some species of plants grow best if you remove dying leaves, as they put energy into new growth instead of trying to repair damaged old growth. Others don't matter either way. Also, if a tank is balanced and well stocked, a few dead leaves won't affect water parameters much at all. If you have a large plant die-off for some reason, that could be a problem for water quality, though. Even then, I'd be more inclined to monitor water quality and let nature take its course, only intervening if water quality suffers. I keep snails, shrimp, and plecos, so that plays into my plant keeping decisions.