I don't because I'm lazy. But also because, in my lazy way, I'd probably side with the non-skimmers amongst you anyway (Mark, etc).
There's an episode of Brewing TV I watched about wild yeast, where the brewer interviewed claimed those proteins, etc, that form the haze in brews tend to be what the yeast goes for. (He didn't whirlpool either. But then again nor do I....)
This reminds me of an analogous process in cheesemaking, when you're making a whey cheese like ricotta. When you heat whey up, just before boiling point, it will separate into different parts - the curds, which you have to filter out somehow; the whey proper (which will go from a yellowy-green to a deep green as the fatty parts separate out into curds); and the scum, a white milky froth that forms at the top. It must be largely the same stuff that forms froth at the top of the milk on cappucinos, lattes, etc. Anyway, some methods of cheesemaking require you to scoop this scum off the surface as the rest of the whey simmers away - while not scooping up the white curds. Incredibly time-consuming and it hurts your back (you spend all that time bending over the pot).
I forget what the point of this anecdote was, but as Bart Simpson said to Grampa Simpson, "Great story, old man".