yes, they do dig up the sand, that's the whole point. You will not find anything that will eat the alge off the sand and get it totally clean. You need something that will keep the sand mixxed up so the alge doesn't have a chance to seed.
as far as eating shrimp, i mine eats mysis and brine shrimp i add to the tank, he is a very efficent botom feeder, he takes the sand into his mouth and filters it out through his gills. but he has never touched my cleaner shrimp or my fire shrimp.
And my water is clear, he doesn't make my tank cloudy by any meens.
ultimately, it's up to you. i enjoy the personality my goby brings to the tank because he always moves the sand around. if you don't think you'll like that then the goby isn't for you. They are the best thing i've seen to keep your sand clean though.