If you are adamant about QTing fish to prevent disease, you should QT everything wet that enters the tank; algae, coral, invert, rock, live sand, ect...
Otherwise you run the risk of transferring disease with any organism. (crypto, ect...)
I can't think of a real good reason to QT shrimp aside from the risk of it being a disease carrier that could effect your fish, unlike corals and other animals that carry their own specific pathogens and parasites (acro/red bugs, acro/AEFW, zoanthids/nudis, montiporas/nudis, stuff like that.)
But, to be 100 percent sure, everything should be QT'd to prevent cross contamination. If you are a big QT devotee may as well do it correctly, IMO.