Of the cleaner shrimp varieties, the CBS is one of the more aggressive, but I think it is far more likely that the anthias died of disease, shock, or stress (most likely incurred before your purchase and not your fault) and in the night, something took a bite. This phenomenon is how bristle worms got a bad reputation. Be on the lookout for aggressive behavior nonetheless. But right off hand, I'd be very reluctant to blame the shrimp, personally.
Someone stop me! Please! But... not just yet...
55 Gal Tropical FW
55 Gal Mixed Reef