Even though the shrimp is large and pretty well fortified, I wouldn't keep it with Oscars. Oscars can be just to aggressive I have watched them just slaughter fish for the hell of it and spit the dead fish out only to go continue the killing spree. Also fan shrimp need to be able to sweep the water for food and if it is being bullied/ harassed or chased into hiding by Oscars it will severely limit the shrimps feeding chances.
The only way that the combination might work short term is if the shrimp is full grown but the Oscars are only tiny/ young. If the Oscars grow up with it they may not see the shrimp as food. But my sisters Oscars eventually ate a yabby that was in their tank, once the Oscars where big enough to tackle it.