A few things:
1) Shedding doesn't make ball pythons skinny. Failing to eat does...which means they probably lied about his feeding. That may have been the last time food was offered, but it's unlikely it was the last time he ate, if he was thin when you got him.
2) Give him a live mouse hopper. If he's truly been eating frozen thawed, then he will eat it again, once he has his appetite back. A live mouse is much more likely to stimulate his appetite and instincts.
3) If he doesn't accept the live hopper, take him a veterinarian for a check up. Pet stores are notoriously untrustworthy places to buy reptiles from. His failure to eat may be the result of a health issue, or internal parasites. If heat, hides, etc are all correct, then a hatchling ball python should not fast for longer than 2 or 3 weeks, max...if thin ALREADY, than even less time than that.
4) Ball pythons should rest in their hide all day, and roam for a few periods at night. If they're out and about continuously, even during the day, then they're unhappy. Usually this is due to an enclosure that's too large, or an improper hide. (A dirty cage, or mature male looking for a mate, can also cause roaming).