A little clarification here: The outside shell of an egg is coated with a waxy substance called: cuticle (aka bloom).
This substance acts as a lubricant to help the hen during laying. In North America, each commercial egg is washed and sanitized. This removes this waxy substance.
Another role for the cuticle is to minimize moisture loss since the shell is porous to water vapours and air. An egg that lost moisture shrinks inside, the air sac gets bigger because of the vacuum created hence it will float in water indicating it is not fresh.
A scientific article that investigated this fact: http://ps.fass.org/cgi/reprint/77/10/1522.pdf
Some studies have investigated the antimicrobial effects of the egg cuticle and it does appear it contains some antimicrobial enzymes (ex lysozyme). If the shell is intact though (no cracks) these exterior substances are useless. Important to note that Lysozyme is also found in egg white were it is more usefull at protecting the egg if microbes are present.
Hope this helps