I leave the roots. In fact, I encourage root growth before I plant by severing the pup from the mother with a machete but leaving it growing in situ. Then after about a month, I dig it up, with the roots, and pot it up.
Because I am in a greenhouse and have limited space, I only save two pups - one to replace the mother and one to sell as a houseplant. The others I cut out when small so they don't take energy away from banana production.
Of course, folks growing in the ground may do it totally differently.
Carolyn