How are you trying to feed the shrimp? The best method I have found is to put it on the end of a bamboo skewer and offer it at about half the arms length. This works very well for older octos but the very young ones may be too timid.
Can you get a couple of small fiddler crabs at a LFS? I would recommend finding some locally and then ordering more for regular feeding (
Paul Sachs is a reliable and reaonably priced supplier that many of us use). For whatever reason, fiddlers appear to be a universal octo food (I break a tip off the males' claw so they can't pinch) and Paul will do his best to provide the size you request (small in this case).
Young octopuses tend to stay shy for quite some time and it seems they have to reach a certain maturity before they will allow themselves to be seen or begin to interact (I saw this in the mercs and Animal_Mother didn't even know Kalypso was loose in his tank for quite awhile, Nancy had no idea she had a living briareus in a tank for 4 months). Keeping a little guy fed is important and there are few things he can find on his own in a critter keeper (adding pods from your sump or filter or adding some pod infested lettuce macro is a good idea). Feeding Cyclop-eeze (frozen, not the dried) is another small food that octos will eat without direct feeding. Allowing him to hunt the tank would be helpful as well but you will not likely see him at all for awhile and it is hard to be sure he is eating. Live shore shrimp can be added to the environment but they are difficult to catch and cannot be used for the only food.