Preheat the oven to 400 degrees F. Toss the potatoes and bell pepper with 1 tablespoon olive oil, 1/2 teaspoon salt, and pepper to taste in a shallow baking dish. Roast 15 minutes. Meanwhile, toss the shrimp with the garlic, oregano, paprika, 1 tablespoon olive oil, 1/4 teaspoon salt, and pepper to taste in a medium bowl.
Add the shrimp to the baking dish. Roast, stirring once, until the shrimp are just cooked through and the potatoes are golden brown, 12 to 15 more minutes.
Toss the radicchio and romaine in a serving bowl with the lemon juice, the remaining 3 tablespoons olive oil, and salt and pepper to taste. Add the warm shrimp and vegetables and toss to combine. Top with the feta.