Actually, this is smart. The prelim in a case like this is basically a rubber stamp for the case to continue down the path to trial.
Sandusky and his lawyer have a basic idea about what his accusers are going to say at trial, so they weren't going to learn anything in a prelim.
This prelim was basically just another chance for the prosecutor (and the press) to skewer Sandusky.
Waiving the prelim can also look good in plea negotiations because the victims didn't have to testify and all that good stuff.