As long as the plasma ball's shell has enough material to hold its strength up and not leak, you should be okay and your plasma ball should work the same.
Often products are shipped with a protective plastic coating on them to protect against scratches during the shipping process. Some digital clocks, for example, have a clear peel-off plastic cover on them when they ship.
It could be that the plastic film has a different dielectric constant than whatever is beneath it (which is usually just more plastic these days, but some plama balls are made out of glass), and so the behavior of the plasma may be a bit different without the film than with it, but I'd guess that if the film was much thinner than the shell of the ball, you'd not notice it. If the plastic were conductive, it'd make a bigger difference, but I don't know of a clear plastic that's also a good conductor.
(republished on 08/02/06)