For the dressing: Cut the top and bottom from an orange so it sits flat. Working from the top down, cut away the peel and pith to expose the flesh. Cut out the orange segments, leaving the membrane behind. Squeeze any juice from the membrane into a large bowl. Repeat with the remaining orange. You should have about 1/4 cup juice. Reserve the segments.
Whisk the cream, vinegar, mustard, 1/2 teaspoon salt and several grinds of black pepper into the orange juice. While whisking, pour in the olive oil in a slow, steady stream to make a creamy, slightly thick dressing. Chill while you make the salad.
For the salad: Sprinkle the shrimp with the Old Bay and 1/2 teaspoon salt. Heat the olive oil in a large skillet over medium-high heat. Sear the shrimp in two batches until just cooked through, about 3 minutes per batch. Remove to a plate to cool slightly, about 5 minutes.
Combine the shrimp, reserved orange segments, avocado, cucumber and fennel in the bowl with the dressing and toss gently. Mound the lettuce on a platter or individual plates and top with the salad. Garnish with fennel fronds.