Are you testing for amo, nitrites, and nitrates? The 1st damsel could have died from the amo, if there is some in the water. How was the fish acting and looking? Did you see any parasites, like ich? Sometimes fish will get ich from the stress of moving them to the LFS and then to your house.
I didn't realize from your original post that you had 2 more damsels in the tank.
Some people cycle tanks with damsels, but it's not necessary. It's up to you. The shrimp will definately make the amo rise, so will the 2 damsels that you have already in there. I would do one or the other. Watch the fish closely for ich.