1. Ask for an actual picture
Ask for a picture of what you're getting! Also, ask for a representative sample of the shrimp you're getting, this is usually a tank-wide shot showing a majority population. This is at least a good way to ensure what arrives at your door.
2. Know the scientific name
Make sure you get the scientific name of the shrimp you are purchasing, as trade names are commonly mislabeled and/or deceiving. You don't want to pay $50 for a Blue Bolt (caridina cantonensis) and having it come to you as a $2 Blue Pearl (neocaridina palmata).
3. Understand the genetic makeup
Many shrimp may be kept with other species, ask if the shrimp has been crossed with other species or variations. For instance, Crystal Red Shrimp that have been crossed with Golden Bees aka. Snow White Shrimp are less desirable than the Pure Red Lines, and may appear yellowish in coloration. Orange Eye Blue Tigers may not breed true and may spew out Blonde colored Tigers. Rili shrimp may have different patterns and grades.
That being said, pure lines are not always preferable, oftentimes it is desirable for select species to be crossed back to the wilder forms to boost fertility and hardiness. Inquire if the shrimp you're getting breed true, just so you aren't surprised when your blue shrimp pop out a red and blue baby.
4. Buy tank-bred shrimp
Tank bred shrimp, over wild-caught shrimp, not only keeps our hobby sustainable (i.e. prevents overharvesting of natural habitats and breakdown of ecosystems) but you will more likely receive hardier shrimp that have already been aclimated to a captive environment. Ask about the tank conditions the shrimp are being kept in, our shrimp profiles only provide an estimate as to their natural habitats, but various home bred species have been acclimated to drastically different parameters over the years, i.e. breeders have been known to keep Sulawesi Cardinals in pH as low as 6.5!
5. Support fellow hobbyists
I don't think the puppy-mill analogy quite applies to shrimpkeeping, but I believe in supporting fellow hobbyists. It keeps our hobby fun and social. Look for local shrimpkeepers, Aquabid, or look on various aquarium-related forums such as TPT and APC. More often than not, they will be cheaper than commercial retailers, and you'll make a few friends along the way.