to the OP, id try skipping a day, then feed. its ok to feed live. Although lionfish are rather easy to get onto prepared foods, it doesnt mean that every single one will be easy. you have to keep in mind that they are notoriously near-sighted. so dangling food 2-3 feet away isnt going to work. also, they are gulpers, (think of snakes), meaning that unlike other fish, they dont need to eat nearly as much. its not uncommon to go several days, even a week, without eating. the longest id go trying to wait him out is about 1.5 weeks. if at that point hes not taking prepared, toss a feeder guppy or something in there. if he still doesnt take it, hes either 1) sick or 2) stressed out due a circumstance (another fish beating him up, SG is off, trates are too high)
i also just brought home a fuzzy dwarf lion 2 days ago. i havent even attempted to feed him yet. waiting till tomorrow to try