Yeah the cloudy water and surface scum is all from the rotting shrimp which is producing the ammonia you want to keep the beneficial bacteria fed.
As mentioned by Diana, the surface scum/film, layers the water surface and blocks out atmospheric exchange, allowing less oxygen in (also keeps things from exchanging out of the water) to transfer into the water turning into dissolved oxygen. The beneficial bacteria are aerobic so that means they need oxygen in the water.
Since there are no fish, I don't think it's too much of a big deal, as there is probably enough oxygen (unless you completely have no surface agitation or your filter outlet is below the water surface). But to be on the safe side, it would be better to increase surface agitation (and circulation) and to remove/reduce the surface scum with the methods mentioned above. All other aerobic bacteria also use up oxygen as well. I am thinking the cloudy water is a bacterial bloom, and so they would be using up a lot of oxygen (the cloudier, the more bacteria and the more oxygen is used up). So it would be wise to make sure you have enough dissolved oxygen in the water for the bacteria to function.
The cloudy water could be Heterotrophic bacteria (bacterial bloom) feeding on the rotting shrimp. I would advise testing the ammonia, nitrite, nitrate levels, not only to monitor if the tank is properly cycled, but it has been said too high of ammonia levels can harm and/or stall nitrifying bacteria. I recall quite a few people saying tests showed 5-6ppm of Ammonia (NH3) killed off some bacteria. Another person experimented with 8ppm of ammonia and the tank never cycled at all. So it would be wise to monitor the ammonia levels that they aren't too high. The whiter the cloudy water gets, the more ammonia most likely (although I haven't heard of high ammonia effects on Heterotrophic bacteria, which might also kill/stall them as well).
I am not familiar with the shrimp rotting method of cycling, but it should work. Just don't use way too much and keep the surface agitation up. Do test your water to keep track of the cycling.
Just wanted to ask though, you said "took some good bacteria from my established tank filter and soaked my new filter sponge in it", what did you use exactly? Did you just soak the new sponge filter in established tank water? Or did you use actual biological media from the established filter and use it within the same filter as the new sponge filter to help seed it?
If you just used tank water, that probably won't be nearly enough to really jump start the cycle.
You could of left some established biomedia from the other filter in this new tank, and the higher levels of ammonia would have fed the biomedia and grew the beneficial bacteria colony.