Some cold break is good for yeast growth and development, but too much, especially in a lager can have a negetive affect on beer flavor and stability. This and other factors like the beer handling, tannin extraction (oversparging/overcrushing), fermentation temp/environment, etc... will also come into play where beer flavor is concerned. If you process is really tight and one of the only mitigating factosr is excessive cold break in the fermenter then I would focus on some removal. Otherwise, I recommend enhancing your sanitation, mashing process and fermentation temp control first.