Dwarf lions can sometimes be finicky to start feeding at first, especially if you're trying to feed them something that they will not recognize by instinct as food - such as thawed frozen foods.
With all of my lions, encompassing about every possible lion available, I only needed to feed live for one week. I then feed nothing for one week, and then the lion should be willing to eat thawed food from a feeding stick.
Also, all of my LFSs feed their in-stock lions guppies, so check with your local store where you bought him to see (a) if he was feeding and (b) what he was eating. I'd buy a lion that is already eating, even if it is live fish.
Feed live, even guppies, for one week. Get the lion full, then don't feed for a week solid, and then he should be willing to take thawed krill or silversides, this worked for all of my dwarf lions, and they were all started out eating guppies at the LFS.
Eventually your lion's feeding mode will coincide with you putting anything in the top of the tank. My lions were so used to being fed frozen, that when i opened the top of the tank for anything they'd go into feeding mode. They would eat anything that hit the top of the water and dropped. It was actually quite humorous, they even inhaled and then spit out antibiotic tablets I dropped in the top.