As long as the frozen shrimp has been kept frozen and the shrimp is warm water shrimp which nearly all shrimp you buy in the grocery stores is you can eat the frozen warm water shrimp raw without getting sick.
I've tried eating some frozen shrimp raw however I didn't like the taste or texture of the raw shrimp but my friend likes eating frozen shrimp raw sometimes.
Myself I just couldn't eat it or get it down my throat but I do love shrimp when it's cooked all the way.
As long as the frozen shrimp has been kept frozen prior to eating the frozen shrimp there is no risk to your health if you do eat the frozen shrimp raw.
But it's usually unpleasant for some people to eat raw shrimp so that's why most people eat the shrimp cooked.