You do not want to feed Freshwater ghost Shrimp to your Saltwater Animals....not enough nutrition and the shell can damage the stomach of some SW predators....only SW Grass Shrimp should be used as feeders...and yes, gut loading them works best to enhance the nutritional value.
As Danny said most Lionfish and Scorpions need to be trained to take frozen food, but this can be done usually very easy (we do not sell any of our predators until they are readily excepting frozen food) Also, how long has he been in the tank??? most of the time I will not attempt to feed them until they have been in the tank for a few days to a week...to make sure they have settled down (very common for them to not eat for a week or so, after the stress of shipping or acclimating to a new tank) But start with the live shrimp or a green chromis...to initiate the feeding response...then focus on training him off of live...