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AFAIK, it's generally edible, but of course you don't have to if you don't like its taste.
 
It's equivalent to the crust on a loaf of bread. I'd say it's compulsory to eat it otherwise don't buy the cheese. :)

Additional plastic (white or clear) or wax (the red kind) outer coatings on the other hand, you don't want to eat.
 
Eat it

That white stuff (Rind) on a surface ripened cheese is the remaining mould that gives the cheese it's flavour. It is edible though some people don't like the strong flavour and dispose of it, what you need to ba cautious of is if your cheese smells of ammonia, this means it has gone bad and should not be eaten. Other kinds of cheese have a wax coating to preserve freshness, this is not eatten though it wouldn't be harmful. In general, any cheese rind is safe to eat though some are tough or have unpleasant flavors.
 
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