It's funny, but I've eaten tempura fried shrimp heads, and have found them to be amazingly tasty.
Some years ago I was having dinner with a woman who had spent several years in Africa with the Peace Corps, and she wasn't phased at all. I ordered a bowl of shrimp heads and we proceeded to chow down.
The people at the next table realized what we were eating and the woman, I swear, nearly puked. They got up and left.
Hell, lady, you're eating in a SUSHI restaurant! What's the problem?