Many Asian shrimp cuisines come with shells on whilst most western shrimp cuisines don't.
They said its tastier to leave the shrimp unpeeled when cooking so as to keep the juice in it, and the shell gets to eat seasonings in that makes the shrimps finger sucking flavorful.
But I don't like to peel shrimps , and most of shrimps cooked unpeeled where I am at ><