Yes, it is fine to eat the gills of a mushrooms. Portobellos have dark black gills, which can cause other ingredients in a dish that uses them to turn a dark gray color. This is rather unappetizing. However, in this dish, the portobellos are grilled and not mixed with other ingredients, so they will not have the same effect. But, if you'd like to remove them, it's pretty easy! Just use the end of a spoon to scrape the gills off of the mushroom.