You like chewing on peels in your apple pie?
Depends on the variety of apple. Some have peels that soften when cooked, others have peels that toughen when cooked. I prefer the kind that soften, because I can leave them on and no one even notices. Not because they’re more nutritious, but because I’m lazy enough to want to skip steps if I can get away with it.
On the other hand, if you’re making an applesauce, the peels would change the color and some people with prefer taking them off.