According to the Straight Dope:
To be accurate (and this is the Straight Dope, after all), the black stuff is the contents of the intestine and not the intestine itself. There are several reasons for removing the intestine, the most obvious being the aesthetic appearance of the poop chute (I mean, how can you NOT look at it?!). In addition, the shrimp's colon and its contents can impart a disagreeable taste and gritty texture to the meat or dish.
I may eat vegetables grown in fertilizer, but I do not eat the fertilizer.
I may eat beef fed with ground-up beef by-products, but I don't eat the by-products directly and by the time I eat the beef, the by-products have been digested and much of it excreted.
My soda may come from a manure field, but I do not eat the manure.
I may shake hands with someone who didn't wash after using the toilet, but I don't lick my hand afterwards.
I don't understand my cruise cabin "air" being full of "gray water" -- that one has me stumped??
In any event, I do not eat shrimp that have not been deveined. And, I really won't eat it now that I have read all the unpleasant details on the Straight Dope.