Yes shrimp does usually contain parasites that can transfer to the human and possibly infect the human with those parasites.
The shrimp when cooked however should not have the parasites as long as you fully cook the shrimp to a high enough temperature when the shrimp is fully cooked it heats up enough to kill the parasites and any bacteria that the shrimp can contain.
So while you can eat shrimp raw it's not recommended to do so as you can become potentially infected with worms and other parasites as well as bacteria.
So you could also get food poisoning from eating raw shrimp or any other raw fish or raw meat.
So make sure you cook the shrimp all the way through and there should be no issue with getting infected with any worms or parasites or any bacteria from the shrimp.