This is an absurdly common request from small children.
If you don't do it, you may still find them eating around the crusts, for instance if you cut a sandwich in half, or even gnawing through a single point on the sandwich's crust and then leaving behind a crust-rind when they're done.
As a parent, you're then left with no other choice than to eat all of the grilled cheese rinds yourself, so you don't tend to push too hard on the childish habit.
If you don't do it, you may still find them eating around the crusts, for instance if you cut a sandwich in half, or even gnawing through a single point on the sandwich's crust and then leaving behind a crust-rind when they're done.
As a parent, you're then left with no other choice than to eat all of the grilled cheese rinds yourself, so you don't tend to push too hard on the childish habit.