I have heard both sides of the argument. One side says, take the shell off, as it can damage the inside of the anemone. Other side says, leave it on, shrimp in the wild don't take their shells off before they skinney dip.
I take the shell off myself, but I am wondering if I am doing a disservice to the anemone for not letting it digest the shell too. I do not know, but it takes only a little imagination to think that the shell might contain different concentrations of nutrients that the flesh of the shrimp.
I would say, watch for three things: 1) be gentle when feeding the anemone, let it take the food in, don't you push it into the mouth. If it don't want it then don't feed it, 2) if you obey #1, you can leave the shell on, 3) if you have an anemone that is a fussy eater (it won't readily take the shrimp), then take the shell off because you often can entice the anemone by rubbing the shrimp around then mouth area for anywhere from 15 seconds to 2 minutes. You will see the mouth swell and eventually provide a place for the food to go. But to do this you don't want any pointy pieces of shell.
Good luck, Kevin