Can you get some live brine? If so, get a small amount. For new fish like that, especially wrasses, they'll usually start eating when enticed with it. I like to get live brine, net them all out and put in your own SW. Only use a small amount of water since I like to add a generous amount of garlic guard and zoe (vitamin) to their swimming pool maybe a hour before I feed.
The shrimp by itself has no nutritional value, but either gut loaded or not, it will likely trigger a feeding response from your wrasse. You'll also need and airstone in the live shrimp bucket to keep'm alive for more than a few hours. They'll live for days with oxygen. After that, frozen mysis or brine, FW rinsed, with garlic and zoe can be used. But, don't forget the veggie matter too for others in your tank.