I was told that when I got my mealies to not use the substrate that they came in. So you are supposed to use a strainer to sort the mealies and their substrate, but I just dumped them in. Especially where these are your first mealworms, and you AREN'T adding to an existing colony, I wouldn't worry about it.
On the freezing... If you are going to FREEZE them, they will be dead and only good for feeding out to the animals. But if you REFRIDGERATE them, you can pull them out later to add to your colony. They only need substrate during this time, NO veggies or fruit!
On the carrots, umm, IDK. I only have 100+/- mealies so I don't know how many 5000 eat. I would put in like 6 and see how fast that goes. The other thing to think about is that they will be thirsty from being shipped and they will probably eat a lot more the first couple of days. With carrots, just laid on the wheat flour is fine, but if you are going to do anything juicy, like apples, or melons, then I would put it on something so you don't get the substrate wet.
You can put anything you want for grains/feeds in there. Whatever nutrients you want your chickens to have, give to the mealworms and the chickens will get it through them.