Yes, you definitely need to give the shrimp some building material. Pieces of rock (I use alfagrog), seashell, coral gravel etc are all OK, ideally a mix of different shapes and sizes up to 2cm. You'll need to keep replenishing the supplies. He can't build a burrow in fine sand without these materials.
2" is just about deep enough, but expect him to pile it higher in places.
Ideally a small 4-6" piece of plate rock (or similar) rested on top of the sand will give him a starting place for the burrow with a secure roof.