by 
The Curious Bag
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<h4 class="dechead">On One Hand: You Can Remove the Shell of a Shrimp when Grilling
Some recipes recommend removing the shell of a shrimp prior to cooking or grilling the shrimp. Particularly if you have purchased frozen or partially frozen shrimp, it will be easier to remove the shell before the shrimp is cooked. Removing the shells before grilling shrimp makes immediate consumption easier and might be a better choice if you intend to skewer the shrimp for cooking.
On the Other: Removing the Shell is Not Necessary
Shrimp can also be cooked with the shell still on. Grilling with the shell on will give the shrimp a more intense flavor and help the shrimp to retain moisture. For a stronger flavor or more tender shrimp, leaving the shell on is recommended.
Bottom Line
There are positive and negative points to both leaving the shells on and to removing them when grilling shrimp. For convenience and ease of preparation, remove the shells prior to grilling. For more flavor and tenderness, leave the shells on until the shrimp are cooked.
Source:
The BBQ Report: Grilled Shrimp
More Information:
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