i dont think its anything to worry about. i was told they do it to reabsorb the calcium in it. in nature they eat food with very little calcium. eating the skin may be an ancestoral memory of harder enviornments...
i dont let mine eat them. i like to save them for something you might consider a growth chart; you can look back on them later and remember how little they were. :wink:
Theres a few reasons reptiles do this, one being the nutrient boost that Jscott mentioned. Another being that it's a survival mechanism hardwired into their brain... In the wild if they leave the shed laying around, a predator will know to look for a small meal close by, eating their shed skin eliminates any trails that might lead a predidot back to them