Blot the shrimp dry and place in a medium bowl along with the garlic, a pinch of salt, 1/2 teaspoon black pepper and the olive oil. Refrigerate for a minimum of 2 hours and up to 8 hours.
For the sauce: Heat the butter in a large nonreactive skillet. Add the onion and 1/4 teaspoon salt and cook over medium heat, stirring often, until coppery brown, 10 to 15 minutes. Add the ground coriander and the thyme, and stir to combine. Add the pureed tomatoes, 1/4 teaspoon black pepper, the bay leaf and the lemon zest. Cook, uncovered, over medium-low heat until the sauce thickens, 10 to 15 minutes. Add the lemon juice, horseradish, cayenne and sugar, and taste for seasoning. Pour the sauce into a small bowl and let cool to room temperature before serving. (You can make the cocktail sauce up to 3 days ahead and keep refrigerated.)
For the shrimp: Preheat the oven to 425 degrees F. When hot, place a heavy sheet pan in the oven to preheat for a couple of minutes.
Add the marinated shrimp to the hot pan in a single, well-spaced layer. Roast the shrimp until curled into a "C" shape and pearly-white throughout, about 10 minutes.
To serve: Arrange the lettuce leaves and the shrimp on separate platters, with the cocktail sauce on the side. Have guests assemble their own wraps: one shrimp per lettuce leaf, with a healthy dollop of cocktail sauce on top.
For this recipe, you want just the small and medium lettuce leaves, which make nice cups for the shrimp. Reserve the hearts and leafy outer greens for a salad.