I have a fire shrimp and three cleaner shrimps in my tank. They eat everything I put in the tank for fishes. My fire shrimp usually only comes out during feeding time. Since I use turkey baster, I just squeeze out a little bit of food in front of the shrimps and they will jump and catch the food. I would say unless you are under feeding your tank, no need to direct feed the shrimp. But if you are worry about it not getting enough food, do what I did, just put a little bit of food in front of the shrimp.
Mine also eats with the tank mates. He seems to enjoy the pellet feeding the most and stays in an area where a few pellets make it to the sand and then scoops them up. They seem to be very opportunistic feeders in my experience.