Mine usually hang out on euphilia as well. Typically if I scare them off a coral by shooing them away with my hand they'll find a new coral to bother for a few days.
I don’t have any euphillas in the tank at the moment. I plan on adding a torch soon. My sexy shrimps tend to hang around the mushrooms and they don’t move much lol. One of them has been closed up for a few days now. Not sure if it’s the sexy shrimp or because I cut one of the foot on the mushroom.