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.
Grocery stores and seafood shops refer to shrimp differently. Labels such as "large" and "extra large" can be arbitrary. Order shrimp by the count per pound, rather than the size.