Shrimp that are new to the tank will be slow in accepting processed foods especially when there is biofilm available. They will eventually learn to eat pellets when they get hungry. But don't wait in getting the bloodworms however.
Note: Protein you find in pellets foods is never going to be as good as the protein from meaty products like bloodworms. (Don't feed them steak though, LOL). Drop a pinch of bloodworms into the tank and watch them fight for it. Bloodworms are especially good for shrimp before they moult and breed. The female shrimps need the protein much more and their chances of a recovery is much faster after moulting/breeding/laying eggs.
Don't be too hung up on only feeding pellets and bought foods. The occasional kitchen vege scraps can be washed, blanched and fed to shrimps too. Look around your garden for leaves and flowers. Mulberry leaves are a favourite of shrimps. If you don't have a mulberry near by, look for Oak leaves that have dropped for Autumn. Flowers like roses, hibiscus, dandelions, nasturtiums, and almost any flower can be fed fresh by just dropping it in the tank as long as you know no pesticides have been sprayed on it. I'll bet you these veges, flowers and leaves have more nutrition than processed foods. The added bonus, flowers for example, have antibacterial and antifungal properties. And flowers have an abundance of vitamins and minerals, flowers also contain a huge amounts of carotenoids and flavonoids compared to leaves. Specifically, Crytoxanthin, Zeaxanthin and Lutein which is obviously lacking in the leaves. These carotenoids enhance the colour of shrimps.
Have a read of the food & nutrition forum for a lot more ideas on foods you can use. https://skfaquatics.com/forum/forums/forum/44-food-nutrition/
@sam, if you add in your location in your profile, we might be able to give you better advise on foods based on your location.