Thanks for all the comments!
I think feeding whole food animals is a good thing. The rays get all the nutrients in the food animal. There are no one cleaning shell and head of prey they catch in nature! There might not be many nutrients in shrimp shells, but there are in the head!
Some claim that shrimps have sharp spines that can harm the ray, but I have never had any problems. But be aware of uneaten shells that might clog the filter intake.