Is there any danger in this practice?

Perhaps the peanuts are often treated and you're not supposed to eat the 
shells....? 

I can't seem to find information about this on the internet. Because they're 
not explicitly warning people not to then I doubt they are (and hope not).

However obviously they don't really care about us tiny percentage who would 
dream of eating them and if they are treated with things like pesticides 
without the intention of people eating the shells it seems to me it could be 
extremely poisonous.