Don’t worry, my kids eat the skin too. I guess we forgot to tell them not to and they didn’t find it unpleasant. I tried a bite for my own edification and I did not find it pleasant.

That said, I usually eat peanuts with the shell and all. Though don’t eat too many that way, the shells are definitely not getting digested, so chew well. Also there is probably a higher chance of dirt or other stuff you don’t want to eat being on the shell, but I don’t usually eat peanuts anyway so never been a problem for me.