In Asia, it's use to add flavor, especially when cooking noodles. The shrimp powder is mixed with the sauted veggies or broth.
Locally, we buy them dried (small shrimps) called hibe (hee-beh). You can rehydrate them, pound or powder them. I also add these to rice soups (congee, arros caldo). Use in moderation since they give off a very distinct taste when used so much. Dried shrimps has certain smell that's not every Westerner may find appealing. Some commercial shrimp powder have MSG, which I try to avoid using.
What we love to have as seasoning too is shrimp paste. This can be home made or store bought. This is definitely a must try for the courageous food taster when in Asia.