I got my 32GB iPhone replaced on Sunday. The guy didn't take the plastic film off at all, he handed it to me after he activated it with the film still on it. I drove home with it on till I got home and applied my screen protector.
Honestly the most irritating part of them opening it is that they don't do it with care. When they go to plug in the cable in the bottom of the phone, they just jam it there and scratch up the bottom of the iphone.
When I got my 3G, they didn't open it at all, they gave it to me with the plastic on it and everything. I can still remember the excitement, it was amazing...