Preheat a grill pan over medium high heat.
Loosen shells of shrimp and butterfly them cutting down the devein line of the back of the shrimp. Toss shrimp with 1 teaspoon coarse salt. Combine melted butter with lemon juice and zest. Using a pastry brush, cover shrimps with lemon butter and set on hot grill. Grill shrimp 3 to 4 minutes on each side, until pink and firm.
In a bowl, combine bread crumbs, horseradish, cream and salt. Let the cream soak into the bread crumbs 2 minutes. Loosen bread crumbs with a fork. Stir in cayenne sauce or cayenne and combine with sour cream. Spoon equal amounts of sauce into ramekins on individual plates or a dip bowl in the center or 1 large platter.
Arrange 5 grilled shrimp down the center of 1 leaf of romaine lettuce. Serve shrimp with seafood forks alongside dipping sauce.