You're right, Harlequin shrimps aren't as common as many other interesting reef crustaceans (and none are more photogenic). I've seen them in the Philippines, at Puerto Galera, and here in Bali. They're not just pretty - Harlequins are predators of crown of thorns starfish, though I've never seen or heard of anyplace with enough of these lovely shrimps around to exert any meaningful control of a COTS infestation.
In many dive locations, when Harlequins are found, it's not uncommon for the people who know about them to try to keep it a secret. Once the location is known to more than one guide or operator, it can be only a matter of time before there are groups of divers lined up to look at and photograph them, and the harassment can be enough to drive them away. Try turning your rig around to face you on the table, set the strobes for full dump, and fire them off in your own eyes a couple (or a couple of dozen) times, and it will be easy to see why.
But now for my favorite Harlequin shrimp story. Pedro, one of the excellent instructors/dive guides for Asian Divers at Puerto Galera, was taking a group of divers to the (sunken) floating dock, which was also the location of a very cute pair of Harlequins. Harlequins love Linckia sp. starfish, and can often be drawn out of their hole if offered a bit of tasteful blue leg. As the supply of Linckia in the immediate vicinity of the floating dock had diminished significantly since the Harlequins' appearance on the scene, Pedro had got into the habit of descending a couple of hundred meters away to find a nice treat for the shrimps.
This day, Pedro took his divers down, found a nice Linckia, and proceeded to lead his group to the dock, holding the starfish in front of him by two of its arms to reduce drag against the slight head-current. Reaching the dock, he took the starfish to the shrimps, who cooperatively came out and danced for the divers a bit. Then, after a quick tour of the other attractions of the site, led his group to do a blue-water ascent. On reaching the surface, one of the divers starting whooping and hollering, "That was FANTASTIC, UNBELIEVABLE, I've never seen ANYTHING like that before in my life."
"So you liked the Harlequin shrimps, did you?" asked Pedro. "Well, it's true, they are pretty amazing."
"What shrimps?" the diver replied. "You mean those little blue and white guys you showed us? No, I meant how you navigated all that way by following the middle arm of a starfish - you've GOT to show me how to do that."
Frogfish (Robert Delfs)