The reason why people remove sausage casing is that they either don't like the texture of the casing or if the casing of the sausage is hard to chew.
Another reason for removing the sausage casing is if the sausage casing is not a natural casing or if a recipe calls for the sausages to be crumbled or used in other ways that the casing is not desirable.
Some recipes such as a sauce may require the sausage casing to be removed as the casing of some sausages can be tough and not able to break down very good.
However most sausages casings are edible and are often natural and made from animal intestines.
However some artificial sausage casings can be too tough to eat even though they are still edible.
I always leave my sausage casings on unless I get some sausage that has too tough of a casing.
Then in those instances I would remove the sausage casing otherwise I just leave the casings on the sausages and eat them that way.
If you're simply cooking sausages to eat you don't need to peel off the sausage casing as they are edible and will often split open during cooking.
When the sausages are being cooked the very high heat can make the sausage shrink and cause the sausage casing to burst if the meat inside contracts too quickly.
A burst sausage casing can also cause the sausage to release the juices and be dry when fully cooked.