If the seahorses you thought from the pet store are wild-caught, it may be very difficult to train them to accept frozen foods, particularly if they are Brazilian seahorses (Hippocampus reidi). Do you know what species your new seahorses are?
I wrote an article that explains how to go about training wild seahorses to eat frozen foods, which may be helpful in your case. It is available online from the Breeder’s Registry at the following URL:
Click here: FAMA Nov 1996. Seahorse Nutrition – Part II: Frozen Foods for Adults
It should give you a pretty good idea of how to proceed, but bear in mind that in several years old; the article was written before the advent of captive bred seahorses and doesn’t apply to farm-raised ponies. Captive bred seahorses are trained to accept frozen Mysis as their staple, everyday diet and should not go on hunger strikes or require live foods at all except as an occasional treat.
As you know, enriched Mysis is the best frozen food for your seahorses. You might have your best luck if you stick with frozen Mysis relicta from Piscine Energetics, which contains natural order attractants and appetite stimulants to trigger a strong feeding response.
Best of luck treating your pet-store ponies to eat frozen fare, sir!