Remember, it's a shrimp. It is true that it can defend it's self against the hungry eel if it attacks, but you don't want to bring the poor eel any harm.
Never owned a peacock only purple spotted mantis shrimps and they never bothered my fish but I do hear peacock will kill them. U might want to try your luck with just some cheap fish first like damsels and keep your mantis well fed. I wonder if it would leave a large lionfish alone ...