I read once, in a seniors citizens cookbook, that if peppers are waxed they usually have a fungicide below the wax. It was suggested they be peeled to avoid eating the fungicide (and wax, I suppose). Sorry, I don't remember the actual name of the cookbook- it was many years ago.
What the chefs are doing is roasting the peppers to intensify the flavor of the pepper and implart a smokeyness to the pepper meat. The peeling of the skin is a side effect.
Some folks peel the peppers to get rid of the skin because some peppers have tough skins which would interfer with other flavors in the dish. Kind of an astetic thing if you ask me. And everyone thinks you are a gourmet if you roast your own peppers too (another side effect, LOL!)
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