It mostly has to do with conditions when baled, and TYPE of hay... long stemmy hay could kind of tend to want to "stay wrapped up"... kind of like if you rolled up a ball of twine... although if put up appropriately dry, it's still gonna unroll fairly well. It's more due to moisture conditions when baling... good and dry won't ever be a problem, but if pushing that 20+ to 30% range, it's gonna heat... you might not have mold, particularly on the bottom end of that range... but it'll heat, and become "sticky". The higher the moisture, the more dense the bale will be... making for less "breathability" to steep out the moisture.
Baler design... contributing to the type of bale made, CAN make for a more dense bale (which I prefer)... but this also means less ability to "steep out moisture" from the core of the bale... so more tendency to become sticky, if baling in these conditions.
Plastic wrapping of course will pretty much prevent any possibility of "steeping out moisture", if you wrapped them right off the field after baling. Usually will result in a "slime layer" all around the outside of the bale. Neighbor who has his own wrapper (and does custom wrapping) prefers to wrap immediately if making silage bales of course, but if the hay is down in that 20% range, he'll leave them sit out on the field for a few days to "steep out" before wrapping, because of this.