I think it's a Yorkshire thing, OH was the first person I saw do it but it is quite nice, Wensleydale is a good cheese to use though I get bolshy and have Lancashire.
I was born and bred in South Yorkshire and I've never heard of having cheese with Christmas cake so it's not really a Yorkshire thing. More than likely it's a West Yorkshire thing since Look North aka Look Leeds were promoting the debate.
Never heard of Christmas cake with cheese, and my dad's from Yorkshire. I can see how they'd go together if you like both, but I'd stick with just the cheese.
I was brought up on the Lancashire/Yorkshire border and I've never heard of it but my wife says her Yorkshire-born father used to like Christmas cake with cheese, usually Lancashire.
Had it with friends from Yorkshire many years ago, they said cheese with un-iced cake but with marzipan and icing leave it for later. I always serve a sharp crumbly cheese with mine. A big dollop of mascarpone goes well too