I have usually assumed that people who did not devein their shrimp just didn't want to do it. In other words, they were too lazy, or didn't want to be bothered, or didn't care. I always took it out because (1) the black stuff looks unappetizing, and (2) I always felt like I was eating shrimp poop (it is the intestine after all).
I was reading a blog earlier today which mentioned the possibility of keeping the vein intact for flavor reasons. Anyone else heard of this?