Boy, are you going to get both sides of this question, and the opinions will be from people who have many years experience. There can be a long list of both pros and cons. You did not mention if your Remington was new or nearly so. If that is the case, and the nipples have never been out of the cylinder before, do yourself a real favor by getting them out now. Then re-install with something on the threads--Ballistol, gun oil, anti-seize--they all work well for getting the nipples out the next time. And there will be a next time. It has been my experience that guns coming from the factory have very little to no oil on the nipple threads, even though the rest of the gun is gooped up with oil. Compound that with the fact these guns have been sitting in a shipping container for who knows how long. In some of new guns the nipples will come right out, and as you've experienced, some not. I had one new 1851 Navy two years ago that four nipples came right out. The other two, from the same cylinder, required, well, I'm still trying to calm down.
The nipples in your Remington will be harder and harder to remove as you use the gun because no matter how tight they are screwed in, blackpowder fouling, moisture, etc. will work their way down on to those threads.