I think you should sleeve any hidden role cards - investigator cards and the like, as one marked card could ruin the game.
I wouldn't bother with the others. I did have someone spill some water on the table and a few of the cards (weapon cards not role cards thankfully). So about 4 cards are forever warped and I tossed them in the bin.
It hasn't affected game play in the least.
Agreed. Definitely sleeve the role cards. Everything else doesn't need sleeving, because there's no secrecy with those.