I have seen them offered to eat a few times during traveling and passed every time. I have eaten lots of different tropical fish but for some reason lions just don't look very appetizing to me.
I remember one time chatting with a friend about the lion fish problem, we came up with the perfect plan to put them to good use back in the reef food chain. The idea is for a fish food company to collect lions and chop them up into fish food. That would be a perfect way to put them back into aquariums and give back to the little fish they ate while alive.
Also something to think about, most of the lion fish in the aquarium trade are still collected in the pacific and shipped here. They are much more plentiful in their natural locations but from what I have read in some places in the Keys they are all over the place.