That is what I have found too....some eat a few shells-but most don't, however, the ones that do eat a lot of the shells or unhatched eggs...IME have had buoyancy issues-but it was short term-it seems to take them longer to pass them-I haven't had any deaths that I am aware of-but I also have a lot of fry in very heavy planted tanks with dirt, shrimp and snails that may take care of dead bodies before I know about it.
IMO-its best to limit shells and unhatched eggs the best you can-but a few shouldn't cause too many issue-sometimes it better safe than sorry.....IMO/E it is also important to rinse BBS well before feeding-to limit salt and bacteria in the fry tank and/or make your water changes within a reasonable time after feeding.