Except stuff in the fridge (and even moreso, the freezer) dries out. Try putting cheddar cheese in there without a wrapper.
Admittedly the cold nature of the stuff when you take it means it will attract moisture from the air to condense on it, but it is only out of the fridge for a small period.
The reality is that you will keep it in the fridge in an air tight container so in fact it probably makes very little different either way.