If it is a horse hair worm, it's bad. They normally kill their host once they're done with them. I would isolate that shrimp. The adult worm, once it's out, won't feed, but if there are other adults around, they will lay eggs and then your other shrimp could get infected as well.
As a precaution, I'd probably clean the tank really, really well, including dipping any plants in a bleach solution and looking for anything unusual on the plants. There could be other eggs or larva in there already. Also, keep an eye on and remove any other shrimp you see with that same look. Also, look for any adult worms and remove them ASAP.