The heads are edible. Whenever I eat shrimp I eat everything.
Tail, shell, and head. The head can be very flavorful, especially the red stuff inside. The shells provide good calcium. You just have to be careful of the long sharp snipe at the tip of the head, but it doesn't bother me.
Deep fried shrimp are easiest to eat. Boiled shrimp of certain species can sometimes have shells that are too hard, so I discard those. Any others are fair game.
The texture is something that I'm simply used to.
My parents grew up in a time of severe famine and they raised me not to waste food. I eat shells, cartilage, gristle, offal, bones, etc. Basically anything I can chew without harming myself. All good nutrition.