Very good points have been brought up... I think the most important one is that even if you could somehow guarantee that the rosy reds you are feeding are disease and parasite free, they still contain high levels of thiaminase, which cause a thiamin (vitamin B) deficiency in fish that eat them. Goldfish also contain a lot of thiaminase, so you're faced with the same problem.
Then there's the problem of potential parasites and diseases being transferred to your fish by feeders. Is it worth the stress both to you and to your fish for a few seconds of "thrill" you get by watching your fish eat live food? I hope not.
Usually fish will eat prepared foods if they've been starved for a while. You could also feed both the live and the prepared simultaneously, so that they are associated with one another. A good trick is to feed them the live food one at a time, grasping it in your hand, and then dropping it into the water when they seem interested. This way they associate your hand with imminent food, and will pounce at whatever hits the water. Eventually drop in pellets the same way, and they will also hit the pellets really fast. And even if they spit them out, at least they know it's food and will eventually give in and eat it.