Juicing citrus skins

Some time ago, I read that when juicing oranges, you should remove the skin because it has a toxic oil or something that we cannot digest. I think the 'juiceman' said this in his commercials.

I would like to know if the same is true for lemons and grapfruits, which I have not been peeling, but juicing whole. Does anyone have information about this?

Aluna