Haha. Nice! Glad the little guys can manage to burrow in that.
All of mine were not shy at all and would eat right out in the open. They weren't picky for me and would eat anything I would feed right off the bat (never really seen them munch on Repashy gel foods though, but they probably have), from frozen bloodworms, brine shrimp, to commercial dry foods like pellets and flakes and everything in between.
Would still be wise to observe yours during feeding (if trying out dry foods) just to make sure they are eating and not starving to death. Just in case yours might be more picky and only want live or frozen foods until they accept dry foods. I haven't tried blackworms myself, so I can't comment much on it, but I think it would be fine (assuming the length of the blackworms not being an issue, which I don't think it should). Mine loved bloodworms, I can imagine blackworms being a favorite as well.
These guys can just burrow for fun. Doesn't have to mean they are scared or anything, it's just what they do. Don't worry though, they can spend most of their time above ground.
Mine were bold. They can be a tiny bit skittish at first, darting (like any new fish) and instantly burrowing into the sand. But you could often get your hand right beside them before they do so (I guess they think their camouflage is really that good

) After the first initial settling in though, they aren't shy at all. I've fed mine out of my hand and when I'm working in the tank, they no longer dart away.
Man you get that creepy feeling if you run your fingers through the sand and unexpectedly bump into fish that are burrowed (I have some bigger loaches that burrow too). As soon as you touch them, you feel them suddenly dart away and it just makes you pull your hand away real quick like you got a little electrical zap haha (that feeling when you notice a freaky bug is on you and you jump)