What is he cleaning off of it? If it is picking flesh off, then you have a problem. Otherwise, I don't see what there is to clean on a coral.
But I have not seen a lysmata shrimp cleaning a coral. Since its very large, it probably views it as a safe haven and likes to keep its hideout clean. And most shrimp like to observe new introductions to the tank, so it could just be investigating.
But just make sure the elegance doesn't become stressed from having a shrimp constantly picking at it and "hosting" it.
Good luck