Interesting - I've heard some folks can have allergic reactions to the peel but I've never experienced it myself. Perhaps during the cooking process the volatile oils are cooked off. Skins on with fruit is particularly interesting to me (like with apples); I wonder if the pectin in the skin helps bind everything together making the sauce less suceptible to separation...
More info on the mango allergy (yeah I know - wikipedia) http://en.wikipedia.org/wiki/Mango#Potential_for_contact_dermatitis