The appropriate term is molt...just a little factoid for ya
But it is likely a molt. I can't count the number of times I've cheered because my pistol shrimp died...only to find that he just threw his exoskeleton...sad day.
In any case, I leave mine there unless they get sucked into something. I haven't personally had any issues with leaving mine in.
Sorry to disappoint you. Oh well, you can't have two cleaner shrimps anyway...