i'd suggest removing it, there may be a chance that there is the opposing sex in the tank or it could be a female that has fertilized eggs which will release more parasites and the chances are then good that the infection will not only spread to other crustaceans, but fish as well.
I'd try a hospital tank and watch it go through a molt, sometimes the parasite can be shed with the molting, or it may drop off and enter its mature reproductive stage, in which case if it does you can remove the uninfected shrimp. most parasites complete their life cycle away from their host at one stage or another, if this is one lone parasite it may be enough to keep the shrimp alive until it unattaches and you can remove it.
only treatment that i could think that may work is Hydrogen Peroxide, problem with using it is that dosages need to be a balance between being strong enough to affect the parasite and not so strong as to kill the shrimp.