Why is it recommended to leave the last segment of shell on a shrimp?
The shells do have strong shrimp flavor that can contribute to a sauce, and are also left on for visual reasons. But personally, the choice of whether to leave it on depends on how I'm planning on eating the shrimp.

If they are going to be picked up and eaten, it is nice to have a little "handle" to grab them by. If they are part of a curry or heavily sauced dish, or the occasion is formal enough to demand using a fork and knife, the tails come off regardless of recipe advice. (If you really want the tails there for their flavor, you can pop all the shells into a cheesecloth bag, cook, and remove the bag before serving.)