I've fed my gulpers marine baitfish all their lives (they might have grabbed some pellet here and there but I can't be sure). After 3 years with me, I did lose two out of three less than a year ago after a prolonged illness but IDK the reason. I suspect a bacterial infection that has been affecting all my tanks for half a year. But in this case, IDK if the deaths might or might not have to do with the diet. The third one is still around and still feeds on the same thing, after having gone through a several months fast (right after the demise of its two brethren).
If worried, the solution is simple - presoak the bait fish in water to get the salt out. It could be a good idea to then presoak in VitaChem to be 100% that the diet is a complete package, I think.