From: (http://www.myrecipes.com/how-to/cooking-questions/devein-shrimp-necessary)

There is no good health reason to remove the vein from fresh shrimp.

Contrary to what you may have heard, the vein’s color comes from the sediment on which the shrimp feeds: it is not a concentrated source of contaminants, according to Tim Fitzgerald, Senior Policy Analyst at the Environmental Defense Fund.

However, many people find it unsightly, and removing it is an aesthetic decision. In very large shrimp, the veins tend to be more visually prominent and may also contain bits of gritty sand: in that case they should certainly be removed.

When you can’t see the vein in raw shrimp, it rarely makes sense to go digging around looking for it. When the vein is thick (or visible beyond your liking), remove it by running the tip of your knife down the center of the back.

From: (http://www.coastalliving.com/food/seafood-basics/shrimp-101)

MYTH : Shrimp must be deveined.
TRUTH: That depends on your preference and patience. Large shrimp are fairly easy to devein.

Simply slit the back with a paring knife and lift the vein out with the knife point. But don’t feel you have to devein.

If you can’t see the vein when the shrimp is raw, chances are you won’t when it’s cooked. Similarly, smaller shrimp have smaller veins, often not visible. Deveining comes down to aesthetics, not hygiene. If the veins don’t show, don’t bother. 

Bottom line: use your judgment!