Usually if there's a white coating, it's a natural casing with a safe type of mold that's deliberately cultivated to grow on it to protect it from harmful microorganisms. For natural casings, people seem split on whether they eat it or not. I generally peel it off, but not always. It depends on the texture of the sausage and of the casing. If it's unpleasant, I peel it. If it's obviously plastic, I peel it.