Jeff Axelrod commented (much thanks) that the Costco IQF shrimp come with most of the shell removed. In that case, "DO NOT FORCE THAW UNDER RUNNING WATER" most likely means if you do it, you'll end up with "shrimp pulp" with some of it even down the drain. The shrimp can absorb the water and get mushy and disintegrate. This, I have seen in our kitchen and tried to erase from memory.
This also means the trapped bacteria under the shell is less of a concern.
the original answer/caution regarding safety:
Besides the fact that the shrimp can absorb the water, get mushy, and fall apart under running water, it could be a safety issue.
It may be possible that the pressure from running water will force or push some bacteria that would normally be on the on the outside of the shells (and destroyed) in and under the shell (e.g. between the belly and the shell) where it may be shielded from heat and not fully killed during cooking.
Bacteria going from outside of the meat to inside has caused Costco a lot headache. In the meat case, it was forced in mechanically by the needles of the tenderizing machine. They might also be hedging against a similar thing happing with the shrimps and running water.
If you thaw them in a tight freezer bag placed in water (even running), it should be safe.