Yes. Let me explain about salinity so it makes sense.
If the salinity outside a living cell is different than that inside, it disrupts the cell wall, like a balloon popping: it's more complicated, as most things in biology are, and here is a more detailed explanation:
http://www.oilgae.com/ref/glos/osmotic_shock.html ---but think of cells in the affected creature exploding or collapsing under the assault of one salinity outside, another inside. This is WHY a salinity change should be done slowly, and if the cells involved are not skin cells, but, say, cells in the animal's organs, the damage is going to be slower to show up, as the animal dies of organ failure. So just because the creature doesn't roll over and die immediately, it can still be made fatally ill, and die about 3 days further on, if cells of its internal organs are damaged to the extent that they suffer organ failure. A shrimp has some organs that are susceptible to this, dependent on a lot of things, (including, oddly enough, what it's been eating)---and so, yes. You don't have to quarantine it, but you do have to acclimate it and protect it from ammonia in the bag. This is true of all creatures that crawl or swim. If you've just invested 30-50 dollars in a cleanup crew, just have a nice equal-salinity place waiting for them, be it only a small container: put them straight into it, and bring the salinity of the container in line with your tank over several hours, and you won't be losing cleanup crew. If your tank happens to be within .001 salinity of the bag, you can put them straight over into your tank---but! I like to 'wash off' my inverts in a small dip into a bowl of clean saltwater to be sure I'm not bringing any concentrated bag water over into my tank. It's a small precaution, but I just figure to tilt the odds in my favor.