Adult brine shrimp doesn't have a stomach, just intestine. They need to filter feed constinously. So, if they sit at your LFS for 1/2 a day w/o food, their 'stomach' content is gone. Once gone, they start to live off their their muscle mass. I think it is this fact that the Brine-Shrimp-Is-Worthless myth arises.
I dont think frozen brine shrimp has this problem. According to manufactures, they flash freeze the shrimp preserving both intestinal content and body mass.
Just hatched baby brine shrimp has the fatty sac. Within 24 hours, this sac is depleted as the shrimp develop the digestive track. As they loose their fat, they gain protein in the form of muscle mass.
Like anything in this hobby, a blanket statement 'Brine shrimp is nutritional worthless' is incomplete.