You may lose some of the vitamin content, but not all. Think of human food, we cook everything we eat, and we still get enough of the vitamins to stay alive and promote growth etc. Boiling would lose more of the good stuff then baking, imo. When you boil something a lot of the good stuff goes into the water and leaves the food. When baking, I don't think too many of the vitamins are evaporating into the air inside your oven, haha.
Also remember, variety is the best thing for our fish and shrimps. It's not like you or anyone is going to make some super food, that has everything needed. Using a variety of different foods makes sure to provide different nutrients from different sources so nothing gets left out. Just like the doctor always tells us, eat a "balanced" diet.