It would be bad luck to have any damage under the wraps. If mine is anything to go by, the paint will be just as you would expect it to be underneath. Don't know what the protocols are for damage occurring in transit, but you'd expect the contractors to want to avoid any impacts or rubs, given the costs involved in repairs. The wraps are very easy, and quick, to remove, so maybe the best compromise is to have the wraps removed in your prescence. Any damage would then be visible, with blame not in question.
I actually enjoyed removing the sheets, myself, at home. Felt a bit like Christmas! I was lucky, as the paint underneath was perfect. I believe my dealership would have been OK if there had been anything wrong, but you may not want to take that chance.