I like to suck the goo out of shrimp heads (and crawfish), but chewing on the shells doesn't appeal to me. And I want that black thing some people call a vein gone also - that's no vein, it's their equivalent of a digestive tract and I don't want to eat shrimp poo.
I think somewhere along the line, we peeled fruits because it tastes better. While the zest of most citrus is deliciously concentrated and great in dishes and drinks, the white pith is bitter, though I guess you could develop a taste for it.
And if skins on fruits are there for the protection of the fruit against predation, there's probably at least a chance that they're not great for us. I guess experimenting won't kill you - if you have a 20 lb BM afterward, you'll have your answer. And definitely report back because poop threads are some of the best. (Really.)