Bring a large pot of salted water to a boil. Add the shrimp and simmer until cooked through, about 2 minutes. Drain and rinse under cold water; pat dry and transfer to a large bowl. Add the melon, 4 tablespoons olive oil, 2 tablespoons vinegar, the honey, 1/2 teaspoon salt and a few grinds of pepper; gently stir. Let marinate 15 minutes.
Wrap 1 melon slice and 1 shrimp in a piece of prosciutto; secure with a toothpick. Repeat with the remaining ingredients.
Transfer the remaining marinade to a blender. Add the remaining 2 tablespoons olive oil, 1 tablespoon vinegar and the herbs; puree. Season with salt and pepper. Serve the prosciutto-shrimp bundles with the dressing.