Did you know that peppers are a nightshade vegetable? Yep, and now unfortunately for me, they are also on the most unwanted list because of my new hypoallergenic diet. Makes sense now, as I read why I can't eat these lovely vegetables. Peppers contain alkaloids, which can impact nerve-muscle function and digestive function in humans and compromise joint function (see more info via link).
However, if you can handle them and love them I say eat away until you feel stuffed. As for myself, I prefer the stuffing more then the casing anyway.