To me, as long as he's not sick afterwards, no bloody stools, and overall pretty healthy, I wouldn't worry too much. I won't let him do it all the time though. I'll keep my eye out for anything strange in case of disease and parasites.
Oh aguuuh, I hate getting little surprises like that. One time when Wicket was a puppy, she found and brought home a dead bird head as a little chew. I only noticed it because I could of sworn I didn't give her anything to chew on at the time. She tried to be sneaky and nonchalant about it. I thought it was weird she was being extra careful with how she stepped when we first got home, then when I opened her mouth and I realized why, oh gads!! The little brat tried to pretend it was just a regular chew and hide it from me >.<Shouldn't be a problem unless he brings the head to play ball with. I had a dog do that once. I threw it the first time. On the second time I noticed it had eyesockets.