I've tried it both ways, it seemed to take much longer for my anemone to digest when I would leave on shells, and sometimes it would spit back partially digested pieces with a shell still on. When i took off the shells it never did that. (At this time I had wanted it to grow fast and hopefully split, so a faster feeding schedule was what I wanted, I guess it depends, I should have mentioned that) I also always fed it a varied diet to give it more nutrition. I dont currently feed my RBTA packaged shrimp, but i feed it mysis shrimp and other frozens. It also at times gets flakes from my clownfish.
Maybe its just my anemone, but that is my experience.