Horseshoe crabs are not crusteceans, they are early chelicerates.

They have an open circulatory system, where the blood (heamolymph) freely spills out of the arteries into surrounding tissues, so a small clot probably wouldn’t cause issues. Think of it like a cyst, sometimes if an infection can’t be removed by the immune system, your body will just enclose it in a capsule, so it can’t spread.