Looks like i'm a little late to the thread, but thought I'd share for posterity. Yes you can and should feed other things to dwarf seahorses. Copepods are great. However, enriched baby brine shrimp are going to have to be the staple of the diet unless you have a lot of space for culturing. Other foods include live mysis shrimp and moina salina.
And it must be enriched, and enriched with something good like algamac-3050, Dan's Feed, or DHA Super Selco. Something with a high amount of DHA. Adding astaxanthin and spirulina are helpful too, for both color and the extra vitamins they provide. A vitamin supplement probably wouldn't hurt, though I don't currently use one.