Looks like a sebum plug. It's unclear exactly how bad they are for your scalp, but most of the information seems to suggest they can lead to inflammation, increased exposure to sebum DHT and perhaps block the follicles from receiving nutrients etc. So you should probably try to get rid of them. The fact that all of your shed hairs has them is of course also a warning sign. The best ways to remove them as far as I can find is shampoos containing salicylic acid (without SLS) like Neutrogena t/sal therapeutic shampoo (US version), you can also try to dissolve them by applying diluted apple cider vinegar after washing. I tried this myself on a patch with many sebum plugs and they seemed to have been dissolved, when looking at the patch in a 200x microscope. Clarifying shampoos could also be used.