I almost never do – usually the “poop” is mostly mud from the bottom and while not pretty, also not usually even gritty.
Once in a while, though, I get some Gulf pinks that have really been wallowing, and they’re really, really dirty – so those get deveined.
I prefer to boil/steam shrimp with the heads on – the flavor is noticeably better, and there is no way on the planet to devein if you haven’t removed the heads!