I have 2 shrimp tanks, one has a coarse gravel and the other one is Onyx sand. Fine sand, I would like to try out too. Some of the people here do have different kinds of substrates though.
I have one tank with Onyx sand and another with Flourite. I haven't notices any difference in the shrimps' behavior. I assume that sand shrimp prefer a fine grain so that they can burrow. Other than that, I don't think it matters.