Beyond "personal choice" a couple of reasons it may happen is first, in the wild they would be apt to eat their own skin on instinct, as it would keep them from leaving a trail for predators.
Second, a beardie might eat his own shed skin if he isn't getting enough calcium in his diet.
Here is a link to a recent thread that may also "shed" some light. :wink:
Miso went through a full body/bell/head/leg shed in one and was furious about it. I caught Miso once or twice biting at her shedding skin and flicking her legs angrily to try and get it off.