Peeling the zucchini and squash is a personal preference. The skins of both vegetables are edible and provide added texture and nutrients to the dish. During roasting, the skin of the zucchini and squash becomes tender and slightly caramelized, adding a depth of flavor to the dish. However, if you prefer a more tender texture or want to remove any potential bitterness, you can choose to peel them. Just be sure to wash the zucchini and squash thoroughly before using, regardless of whether you decide to peel them.