The question title pretty much says it all. Many recipes (such as this one) specifically recommend that the tail/last segment of shell be left on when preparing shrimp.
Is there any reason for this? When I'm eating shrimp I generally prefer having all the bits of shell removed by the chef so that I don't have to stop and manually remove the tail from each shrimp in the dish (which can get messy when eating, say, a Thai curry with shrimp in it).
Why should tails be left on if the shrimp are easiest to eat when all of the shell has been removed prior to cooking?