For whatever small amount of moisture you might lose, leaving the membrane on eliminates smoke, rub and sauce penetration from one side of the rack. I skin 'em and I haven't had a dry rib in years. One exception I make is for beef ribs. The membrane on them is often tough and hard to get off. So, if I can't get it off easily I don't worry about it and strip it off quite easily at the end of the cook.
Hub