Saltwater brings with it a lot of challenges and new factors to consider. I was an 8 year veteran of freshwater (nano 1 gal
all the way to 55 planted) when I started my first saltwater tank. I lost all fish but one.
I would urge you to consider easier animals to start with. But, if you're determined, then start reading! There are many websites dedicated to seahorse care. I'd scour as many as possible. They may require live food as often as three times a day.
Harlequin shrimp are beautiful, but I've never been fond of purchasing an animal just to feed to another animal. I've also read (admittedly only from one source) that they have a dismal survival record even with proper care. But I haven't read much about them since I learned that they need live stars as food.
You should check out some of the threads on here about starting up. You may find answers to questions that you haven't even thought to ask yet.
And one final thought. All in one setups are nice, but in my experience cost 2-3 times as much as setting up piecemeal.