Can I leave the okara in when making tofu?
The okara has some unextracted protein and sugar but it also has a large quantity of fiber. That fiber will prevent the protein from properly coagulating. If you leave in all the okara you get soybean porridge.

I imagine you could leave in a portion of the okara and you would get a fragile but hearty tofu. The problem with this is that, with most tofu recipes, the beans are not cooked long enough for the okara to be palatable. With all that sugar it would also give rise to much more flatulence.

You don't have to throw the okara out. There are many recipes that make use of the okara for its fiber. It is pretty straight forward to use it in baked goods. Toasting it gives it more interesting flavor.

If you want to look into tofu-like products that use the entire bean you could research tempeh. The whole beans are fermented so you get a meaty product with all the nutrition of the whole soy bean.