I dont have an analysis to back up anything I say, only eye witness accounts

I too rinse mysid shrimp because they are incredibly oily. While I believe Matt is right that it is nutrients that we are rinsing off, IMO it is only excess from some shrimp being broken either in the packing process or usually when you chip a chunk off to thaw. In doing so youve split several shrimp open to leave there innards thawing with the rest. However I dont believe that by rinsing 3-4 times leaves you with a rice cake either

All the nutritional goodies are within the flesh, and digestional track of the shrimp.
I rinse soley to feed my coral and fish, not the water column. Although this is kind of defeated when I use a powerhead and some mysis get swept in there and blown into dust clouds across the tank. I accept this as my way of feeding all my filter feeders and lps, but feel it would be highly excessive if I didnt rinse.
Looking back when I didnt rinse and just dropped cubes or whatever else, I had copious amounts of hair, and cyano. I mean thick fleshy matts of it. Then changing that, and later reading Anthony Calfo's experiences(which are seemingly endless), he too warned of using the packing water as it is pure micro algae fuel. Refelcting on my own experiences and previous trials and frustrations with algae I couldnt help but agree. Now any of you that have seen my tank will see various micro algaes, but IMO rinsing makes the difference in a manageable patch and a full fledged algae farm.
-Justin