They sometimes play host to intermediate stages of internal parasites such as camellanus nematodes. Snails serve the same function. In these nematodes, they need a host such as a shrimp or snail in order to complete thier developement cycle.
I'm sure there are plenty of other parasites that do the same thing with these critters. Always best to quarenteen anything before putting it in your tanks...even PLANTS !
Of course, having said that....I confess....I don't always quarenteen...