I do have a question since this is my first lion. What is the point where it's advisable to stop offering exclusively frozen and offer live food to maintain health? A week? Two?
Is that a setback in the weaning process?
I don't think you received a direct answer to this question. The answer is, once your fish is weaned and eating a good, varied diet (not just silversides), there's no need to feed it live prey at all. In fact, there's a much higher probability of your lion catching something from the live feeders.
Get your lion eating raw, shell-on table shrimp (cut to approprate size), SW fish flesh (tuna, salmon, snapper, smelt, etc.), squid, scallops, lobster, etc. All of these foods are readily available at your local fish market or grocer's seafood counter, and they're usually cheaper in small amounts than the food at the LFS.
Avoid krill, esp. freeze-dried krill, as a diet high in these foods has been linked to lockjaw in many predatory species, esp. lions.
Personally, I'd make the food pieces about half the size of those silversides. Although lions can swallow large prey, they prefer smaller prey items and it's easier for them to digest them.
HTH