When I feed my recently acquired Caulastrea the Cleaner Shrimp goes and picks at the closed polyp. I've tried distracting the shrimp with his own food, but he prefers it from the closed polyp. I just don't get it.
Chase him away... and keep him away until the polyps open back up. Sooner or later he will not see the candy cane as a food source. Sorry... that's all I can come up with. My peps did that to my shrooms for a while until I got mad and did as stated above... it took a week or so but they leave them alone now. I also always feed the peps first...
I feed mine frozen mysis and frozen krill. They love the stuff. I just cut pieces a little bigger than their mouth. Then I turn off the filters, and place a piece of the food next to their feeding tentacles. These tentacles must be extended to even feed at all. They will usually grab the food and close up around it.
The problem I have is keeping my Cleaner Shrimp off of the Candy Cane while trying to feed, or after the polyp has closed around the food. I have started chasing him away as Reefnut suggested, and it seems to be working for the time being.