Dry the shrimp well with paper towels. Place them on a sheet pan with 1 tablespoon olive oil, 1 teaspoon salt, and 1/2 teaspoon pepper, toss well, and spread them out in one layer. Roast for 10 minutes, until firm and just cooked through. Set aside to cool.
Meanwhile, in a medium bowl, whisk together the mayonnaise, chili sauce, lemon zest, lemon juice, horseradish, Sriracha, Worcestershire sauce, 1 teaspoon salt, and 1/2 teaspoon pepper. Stir in the scallions and capers. Arrange the shrimp on a platter with the sauce in the middle for dipping. Offer a separate bowl for the discarded shrimp tails.
In this episode, Ina roasts the shrimp on 2 sheet pans and adds a garnish of lemon pieces on the serving platter.