It depends on the type of lionfish and the size of the lionfish and the shrimp. I have a radiata and a fu man in my 100gal with a coral banded shrimp, a handfull of peppermint shrimp and a cleaner shrimp. The CBS sits and picks parasites out of the radiatas' mouth. My shrimp are all too large for the fu man to even think about, so they're *really* safe from it lol In my 200gal I have a CBS in with my groupers, harlequin tusk wrasse, zebra moray and volitans lionfish. I don't know that anything except other CBS eat coral banded shrimp. ( I don't doubt that some things will, but I've got all kinds of shrimp eaters in my tanks, and not one has even looked cross eyed at the CBS)
I think that if the shrimp are decent sized, go in the tank first and have lots of hiding areas they're okay. Of course, I could be a complete exception to the base rules.