I doubt the palys killed the shrimp, although I suppose it's possible.
I suspect that your shrimp has molted and is either hiding until it's new shell hardens, or it molted and was eaten by something in your tank while it was a softshell. I've had this happen to a small coral banded shrimp and two peppermints (a !#%T$%@@# royal gramma ate them, he was the only fish in the tank).
I now have a second tank with a coral banded shrimp in it, with ONLY a small goby and a ton of frags, and the cb shrimp is doing great.