I have always loved lionfish. I have in the past had some difficulties with getting them to eat frozen foods. While you will get a lot of different opinions on how to get them to eat frozen, some lions just aren't too keen on frozen food. With time and patience however, most should make the switch, but be prepared to spend hours over a few weeks waving krill and silversides in it's face!
A big difference is where the lionfish is from. Many locations use poisons to catch the fish, which causes many fish to stop eating. A lot of trust goes into the fish store, but try to find ones from Hawaii and avoid ones from the Philippines, you will probably pay more for it, but it is worth it for a healthier fish.
For feeding a dwarf I suggest only a few pieces of Krill every other day. You will see the lionfish's stomach bulge from the food. If his stomach looks pretty full, it probably is, don't overfeed. When his stomach goes back to normal after a day or two he's ready for some more. I also have fed mine Silversides (probably use a half of one for a dwarf to be safe), clam, and squid.
Avoid using live food, ESPECIALLY feeder goldfish. They provide little nutrients (unless gutloaded) and are disease prone.