As we know from our Shrimp and Jumbo Prawn Taxonomy pages, shrimp and jumbo prawns molt their shells as they grow. A recently molted jumbo prawn or shrimp has a larger shell than before it molted, but for a period of time the new shell is thinner and not as hard as it will get as the jumbo prawn or shrimp grows into it until the next molt occurs.
Therefore, if you happen to get jumbo prawns or jumbo shrimp that are harvested or caught recently after molting, you will find that the shells are very very tender and thin and can (and should) be eaten along with the meat of the grilled jumbo prawn itself.