Ok, stress is likely your culprit.
You didn't mention how much cover they have, but judging from your photos, they don't seem to have much moss or other cover like that. You should get some riccia, some moss, or even some subwassertang and just let it float around in the tank. The betta will enjoy it, too, but it will help to de-stress your shrimp because they like to hide in it - especially when there is a big fish around. They don't care that he's not chasing them - he's there, and they were just chased before! After a while, they'll realize he's not after them and they'll be more comfortable.
For the future, shrimp should always be acclimated with the drip method. They shouldn't be acclimated like fish. The shock of the water is probably part of it.
In the end, keep an eye on them and provide them some cover, and they'll probably bounce back!