Sadly, where there's one, there's usually two or three! The adult damselfly lays a cluster of eggs on the plant leaf, which then go into your tank and some hatch out. They will definitely take out fry, shrimp, perhaps a slow or weaker adult, so worth spending a lot of time sitting by the tank hunting for them and whipping them out ASAP!
This is one of my worst nightmares, sorry you're experiencing it! I've caught them in my pond before, and let them go back in since they're part of the ecosystem in the wild, and the adults are beautiful. But in my aquarium? Heck no! They kinda look like evil little monsters too, don't they? Same deal for dragonfly nymphs.