Newborn skin is so sensitive and vernix was created to protect your baby's skin. Why would it be harmful after the birth?
I say leave it and rub it in. It absorbs quickly and will leave your baby's skin soft. I don't even freak out if it gets on me - I usually just rub it in my own skin in that instance. It's not meconium or anything!
I tend to think of a newborn's skin like when we have skin that peels off and we're left with that new layer of skin that is so sensitive to touch, etc. They're basically under assault in so many ways - light, voices, cold, touch - that this is one thing that we can do to help them.