Aside from making your healing easier and quicker after a fall, I think there's one more compelling reason to shave your legs.
Part of being a pro cyclist is getting leg massages after a hard day in the saddle. It works out all the nastys that accumulate in your muscles after a workout and keeps your legs feeling fresh for the next hard day. You cannot, I repeat, you cannot have a deep, thorough, pain free massage if the skin on your legs is covered in hair. Schedule a massage for later today then go out for a hard ride. When you're done head on over to your appointment with your hairy legs. See how it feels. ****ing ouch! Yeah, now you can see why the pros shave their legs.
So now that the pros shave you've got a trickle down effect. All the big boys in the races are getting massages afterward and thus have their legs shaved. You're a poor nobody but you don't want competitors to know that so you shave your legs. Now you don't look like you marched into a bike race straight from cleaning up cow dung on the ranch.
Repeat said scenario down to the minor league races and you'll see why most guys shave their legs. They want to look like a pro. They don't want to look like a fred.
Of course it's always up to you. If you don't care then more power to you. But if you're like me, and you want to look like a pro (no matter that it's a vain pursuit) then you shave your legs.
Cheers.