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Try isolating the bully for a bit. He might be the reason for the stress. If you give the others a chance to get used to the tank, the four of them may just "school up". This works with livebearers sometimes, wouldn't hurt to try with the tetras.
I just bought some mollies and introduced them to a new tank, and they were doing exactly what you described. They've become very accustomed already, and it's only been 36 hours. The only difference that is immediately obvious is that there were no established residents (not counting the shrimp) of my tank.
You said that Ammonia and Nitrites are at zero, that's perfect. What are the nitrates at? pH (unlikely to be an issue, but we want to check everything)? Water Temp?
It's possible that you've got a really good setup, but the water at the fish store had a lot of nitrates in it, and your fish are trying to acclimate to a massive water quality change.
Keep us posted, everyone around here will try to help as best as we can. Good luck.
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