Casey, I just did a little poking around, and it seems the exoskeletons are made of chitin (probably knew that from biology class at some point, the day before I forgot it), which is a polysaccharide similar to cellulose (the sugar that makes up most of the structural components in plants). I'm guessing that it's impossible for trout to break down to the monosaccharide level and hence has little to no nutritional value to them. In light of Konchu's comment, they probably break it down to some point so that the nutrients inside might be drawn out, but I would highly doubt the exoskeleton itself provides them with much energy.
Lloyd, I know that the shucks look much like the original nymphs in terms of general outline, but I've noticed in my investigations that they are not the same color at all, but instead are essentially black and transparent with a lot of mottling (of course, my investigations are pretty limited - I'm sure not all of them are like that). During a hatch in which the hatching nymphs are of many different colors, it seems that the shuck color might be easier to consistently imitate than the nymph colors. Also, after many of the nymphs have hatched and shucks outnumber nymphs in the water by a large margin, I wonder if the fish might be fooled into thinking a hatch of shucks is going on which dwarfs the actual hatch. A fish so fooled might fall better for a fly with the markings of the shuck than for the real thing - or at least that's my unlikely hypothesis.
What's more likely, of course, is what you suggested, that the markings on the shucks may be triggers that alert the fish that it's fake and the fish might therefore selectively ignore them as a result. But if the fish are simply tuned into the most prolific bug-looking thing floating downstream, then the shuck fly might produce. Even if the fish doesn't actually eat shucks but expels them after mouthing them, that behavior would still be enough for the fisherman to find success. Basically, it comes down to how smart or conditioned fish are in terms of what they decide to put in their mouths. And if they routinely mouth our crude imitations, it's possible that they put lots of food-looking things into their mouths. Though it's a long shot, I'm intrigued enough by the possibility that I might just try to develop a shuck pattern for testing. I would develop and test it in the name of science, of course, lest my wife suspect that my routine abscondings to the stream are for my own personal satisfaction.
-Shawn