The two rocks that my pistol/goby live under are pretty much sitting on the acrylic now. The pistol shrimp re-arranges the landscape every day, too. In the morning, they'll have a hole on one side of the rock and in the evening it'll be on the opposite side. If you can, break up a bunch of really small bits of live rock and put them near the entrance of the cave. He'll drag them in and use them as structure for the cave. Also, watch loose frags near the entrance, mine has tried to drag them into his cave.
You shouldn't have any issue with your pistol shrimp and your coral banded. Your goby will shuffle your pistol back into the safety of the cave if the coral banded gets frisky and wants to try anything.
I feed my whole tank with the smallest sized slow-sinking pellets. Everyone eats them and I put in just enough that they're gone in about 1 minute. I'm pretty sure they pistol shrimp doesn't need to be target fed. He'll pick up uneaten food from the sand as he moves it around. I also believe he will eat goby poop.
They're a ton of fun to watch. Do you ever sit there an think, when did the first goby and pistol shrimp decide that it would be a good idea to pair up, and how did that conversation go?