I've been eating them whole for over 35 years. My dad did it and so I picked it up from him. I think it's a waste of time to just it eat the seed, it's delicious whole. I eat them almost daily as a snack during TV time and have NEVER had a problem whatsoever. And calorie/carb wise, it's a better snack than popcorn or chips.
The National Sunflower Assn. notes that eating a lot of sunflower seed shells may if not properly chewed may puncture or stick to the linings of the digestive system. It is not recommended, more at http://www.sunflowernsa.com/all-about/faq/#9.