I picked up four unsexed juvie PG's from a member of my local fish club a little less than a year ago, which have now turned into many, many gudgeons.
There are at least several dozen in one of my planted 20 gallons, along with a healthy colony of cherries. They will pick off the baby shrimp, which are right around 2mm at birth, but so will any tropical fish, even guppies, corries, and SAE's.
As long as there is plenty of cover (as it sounds like there is in your tank), the shrimp will continue to survive and even expand the colony. I do periodically remove adult shrimp to sell/trade from that tank, and they keep showing back up.
I've never kept threadfins, but the gudgeons are a little teratorial amongst themselves, so I'd keep an eye on your dominant male...I've seen mine pick on other gudgeons in the tank, but again, with the cover you're already providing, they should be fine.
I'd also recommend the PVC tubes Six suggested. Put at least one 4" section of .5" PVC near the front of the tank where you can see into it, but it's not too exposed. The male will eventually coax females inside to spawn, and he'll gaurd the eggs until they hatch. It's fun to be able to watch him fan the eggs with his fins to oxygenate them...he'll also ward off hungry snails and other fish. When they get close to hatching, I usually just pick up the tube with a finger on each end to hold the water in, and move him to a seperate tank or container with some cover plants. Once they hatch he may go after them (having not eaten in a while), so I'd remove him as soon as you see fry swimming around if you're into watching the babies grow up.
Some fry may survive the gauntlet in the community tank, but if you raise them seperately, it's pretty easy to get 50+ fry per spawn if there are several females in the tank...