How nice to hear that you're trying out some new foods!
It's fine to feed him flakes now and then, just supplement them with pellets, vegetables and live foods
Maybe when he'll grow to his full size it'll be better to buy him some bigger pellets or sticks
He might not be used to the pellets yet and that's why he spits them out/chews them for so long. I have been feeding my fancy goldies with pellets since day one, without soaking them first, and never experienced any problems
Mysis shrimp should also be an acceptable addition to the goldfishes' diet. They can eat anything that other fish can
Just be sure that you keep pellets and flakes specially made for goldfish, as tropical fish flakes (and cichlid flakes among other things) have different nutritional values and won't meet the needs of goldfish. But all the frozen, fresh and freeze-dried live foods available for aquarium fish are fine to feed to goldfish