So is the Xenia isolated? I would definitely isolate one or the other. If the Xenia is isolated, is it still getting flow, eg, in a critter carrier? And if so, is the shrimp still hanging out near the container?
You certainly could keep the Xenia isolated until it is all open and happy looking, and seemingly adjusted, and see if the shrimp still goes for it after you remove it.
Personally, if you don't want to try experimenting, I would take the shrimp back to the LFS. I mean, it is a risk. Feeding it more might help, but if you got a taste for anemone...then any old cnidarian might well do. Do you have any other polyps or soft corals?
Of course, one day, if that Xenia takes off, you may want that shrimp back to eat it