According to my fish monger to properly thaw shrimp place bag of shrimp overnight in the refrigerator or empty desired amount into a container of cool water for approximately 5 minutes. Drain and use.
DO NOT FORCE THAW UNDER RUNNING WATER because the shrimp will absorb the water and it will turn to mush, fall apart and will be too soft.
If you don't run into this issue, I wouldn't worry.
Rapid defrost isn't considered ideal for texture and flavor of seafood. I don't think it has anything to do with getting sick from the food.
That said, in a pinch, I've defrosted under cold running water and then blotted them dry very well to avoid sogginess or dilution of a sauce they're going into.
Given time, my preferred method is to place them in a sealed plastic bag in a bowl of cold tap water.