Pick 1/4 cup of the fennel fronds from the green stalks of the fennel and reserve. Cut the remaining green stalks off the fennel and discard. Cut off the other end of the fennel, and then quarter, core and thinly slice the bulb (about 1 1/2 cups total).
Add 2 tablespoons of the oil to a large saucepan set between medium and medium-high heat. When the oil starts to shimmer, add the fennel and cook until tender and slightly caramelized around edges, 1 to 2 minutes. Add the shallots and cook until tender, an additional 1 to 2 minutes. Add the spicy cheese puffs, 2 tablespoons water and a large pinch of salt and pepper. Cook until the vegetables are tender, 6 to 8 minutes, stirring frequently. (If the cheese puffs start to break down and stick to the bottom of the pan, stir in a tablespoon of additional water and use a wooden spoon or rubber spatula to scrape up the bits at the bottom of the pan.) Stir in the orange juice and 1/3 cup water and cook until the cheese puffs are completely softened, about 2 minutes, scraping up any browned bits from the bottom of the pan. Season with salt and pepper.
Remove from the heat and let cool slightly. Pour the mixture into a blender and blend until smooth, adding water if needed so the consistency is similar to a thick gravy. Season with additional salt and pepper if needed. Transfer the sauce back to the same saucepan and cover with a lid to stay warm.
Heat a cast-iron grill pan over medium-high heat and allow to heat for at least 5 minutes. Toss the shrimp with 1 to 2 tablespoons of oil and sprinkle with salt and pepper. Grill until charred in spots and just cooked through, 2 to 3 minutes per side. Drizzle with olive oil as needed. Transfer to a plate and reserve.
To serve, spread a large spoonful of the sauce onto 2 large serving plates. Add 3 of the grilled shrimp and top with the reserved fennel fronds. Serve immediately.
When blending hot liquid, first let it cool for five minutes or so, then transfer it to a blender, filling only halfway. Put the lid on, leaving one corner open. Cover the lid with a kitchen towel to catch splatters, and pulse until smooth.