I de-vein shrimp if they're medium sized (36-40) or larger. I do it for aesthetics as well as taste. Nine times out of ten, you won't taste anything from the digestive tract, but that one time can put a bitter, sandy taste in your mouth that is unpleasant. Also, I don't want to pick out little black strings out of my teeth.
Preparations that involve a whole, fried shell-on shrimp often skip the cleaning, which I consider to be no big deal and just part of the dish. You take the good with the bad.
When I buy shrimp to have at home, I often buy shell on, raw shrimp from Whole Foods which are already de-veined (the shells are split along the back).
Why do I bother with the shells? Shrimp stock is very useful.
Best,
Michael