Yeah, they go "blue" when their eyecaps seperate with fluid(I think), giving them a cloudy look. This is what starts the seperation of old skin to new skin. So I'd assume if they never went cloudy, their eye caps wouldn't shed.

This brings up a question I've been wondering for a while. I know how they shed, but...I don't know where the skins come from. Like, are they born with a certain amount of layers of skin? Or is it like fingernails...they never stop growing, or in a snakes case, never stop producing a new layer of skin. I dunno how it works. One of the few things that baffles me.