Personally when I have seedlings, with the cotyledons still stuck in the seed coat, I just give them a day or two to free themselves. Most often they do. If not, at least the leaves will be bigger, giving you more to work with.
The issue is that unless you are very careful, sometimes trying to take the seed coat off, it can tear the leaves off with it. That's the only leaf surface the plant has at that point and if it loses too much of it, it will just die. Once the leaves are bigger, with the seed coat just stuck at the tip, it is easier to just pop it off. And if the tip of the leaf comes off, it still has leaf surface to keep going on.
But yes, if after 2-3 days of sprouting, it hasn't worked itself loose, you probably want to help it along. Those leaves need to open up to the light.
I always find that some need help getting loose from the seed coat and some don't, even amongst a set of identical seeds planted identically. So just some quirk of individual variability, how tough the seed coat was, how well it got moistened, angle it popped up at, who knows?