Kev,
There isn't anything about the species itself that should pose any major problem, but individual fish can have issues that keep them from feeding properly. Obviously, a fish with major health problems isn't going to feed normally. Overall, these are very hardy members of the genus. I've had some problems getting really large/old ones to feed right away, but juveniles should start feeding within a few days of being imported.
Assuming that there are no underlying health problems, and the fish isn't getting bullied; have you tried frozen mysids? How about mussels on the half shell? Can you post more information about the fish - how long you've had it, how its housed, etc.?
Jay Hemdal