Because one whole food item is not a complete diet. It may be 'okay enough' or better than nothing, but it is not a complete and balanced diet. Look at the ingredients on a high quality pellet. Live shrimp are equivalent to the first ingredients, one protein source. It doesn't have all those other supplements that are vital for long term success.
Try using those rigid air tubes. Cut one end at an angle so it makes a good skewer. Put a piece of shrimp, scallop, or whatever frozen food you have on the end and wiggle it in from of the lion. If this doesn't work the first time don't feed him shrimp for a few days and then offer some frozen food with a garlic flavor enhancer on it.
What species is this?