Boy I hate to disagree with a fellow Arkie but.. salmon DO have scales although small. Justt to make sure, I did a Google search. Here's a quote from
http://www.pskf.ca/sd/ "Scales: Remove a scale by scraping backwards with a knife. Look at the scale with a magnifying lens.
Most fish, including salmon, have a layer of scales covering their skin. Scales are small, hard plates, like fingernails, that cover the body for protection. The scales overlap to form a flexible armour plating to protect from predators and bruising.
Salmon begin to grow scales at the fry stage.
The way scales are arranged in rows or patterns is different for each species.
Fish have the same number of scales all their lives. As the fish grows, the scales grow. They form lines, like the rings in a tree. Biologists can tell the age of a fish and how many years it spent in fresh and saltwater from the groups of lines on its scales.
If a scale is lost, another scale will grow to replace it, but it will not have the growth lines in the center."
Now, back to the original post; IMO, "yes" if you are going to leave the skin on the fish at least scale it.