I always prefer shrimp cooked shell on. Better flavor and better texture. Shelled shrimp have a tendency to get mushy when they are cooked shell off. There's an enzyme that releases as soon as they die that causes the flesh to begin to break down. Peel at the table and they'll taste better. Also, "shrimp scampi" is kind of redundant because scampi are shrimp, a translation might be "shrimp shrimps".
Go ahead, and crunch them up if you want. They aren't toxic. Otherwise, think of them as a little handle that you will discard. Not maybe so good in a sandwich but okay and maybe useful if you're sitting around, drinking and eating.
I think the main reason is presentation. Remove them if you prefer and the recipe should still be delicious! The only time I found them a pita was when they were inside a sandwich - really! shrimp tail shells inside the sandwich!
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