The exo-skeleton can be left in for the inhabitants or removed. I usually leave it in unless it gets stuck around the intake tube which almost never happens.
Sometimes they find a cozy spot and just stay there. It means they are happy getting what they need or else they'd start wandering around again. But especially true after molting, kinda hiding.
One of mines favorite spots is on the back side of the HOB filter at the very top where it is difficult to see him!
My tank is kinda like a jungle and I don't always see the shed exo-skeleton, but when I do, I go into a panic looking for it to see if it died. lol So far so good!