Are soft shelled eggs anything to worry about?

One of my polish hens who has been in lay for about 3 weeks, has just dropped whilst walking a broken soft shelled egg. It did not seem to bother her as she then walked off to eat more food, but is this something that I should be concerned about?
The shell which had no colour or hardness came first followed by the yolk all in one go.

If she has only been in lay for about 3 weeks then as Joyful says, she may just be getting into the swing of things.

Another factor this time of the year can also be a lack of sun & day light which means they aren't naturally producing vitamin D which helps with the absorption of calcium. One remedy for this is cod liver oil. You don't want to give them too much (it wouldn't be good for them in large amounts & can taint the flavour of the eggs) but maybe a few drops mixed in with theuir pellets or added to pellet porridge.