Live food in general is not necessarily the best food for captive fish. Regardless of where they come from, they can bring disease into the system as easily as a new show fish. Even freshwater feeders can bring in diseases that are communicable to saltwater.
I feed my lionfish a live feeder guppy pulled from my own freshwater system if I have company coming over and I want them to see a show, but that's the only time I'll ever do it, and I'd never use store bought feeders. The rest of the time, he eats frozen preparations, mysis, marine cuisine, etc. Freezing the food almost eliminates the risk of disease.
Trust me, if your lion is hungry enough, he will eat whatever you put in there, so weaning him onto frozen food should be no problem. Just let him go hungry for a few days. Once he gets a taste for it, he should keep eating frozen for life.
As for how long you should wait between feedings, I'd feed him every two days, just enough to where his belly starts to bulge. Give him 48 hours to digest the feedings. Lions are very greedy and can eat themselves to death!
