I just dont think anyone in the wild is out there peeling shrimp for all the critters that eat them so they do not choke......I seem to doubt its not a problem for then to do whats natural and thats eat shrimp with the shell / head on......
I used to remove the shell but now I leave the shell on plus the tail, from my understanding there are Micro-nutrients plus Iodine in the shell, that will benefit your lion.
Kaye
I used to feed my puffer shrimp with the shells and all he did was spit it what couldn't be eaten. I know with puffers at least, it helps grind down their beaks.