Make the Dipping Sauce: Whisk together the oil, lemon juice and hot water. Stir in the garlic, oregano, and parsley. Let stand for at least 20 to 30 minutes to marry the flavors. Set aside.
Using a small sharp knife, make a slit about 1/4-inch deep down the backs of the shrimp and devein them but do not remove the shells. Place the shrimp in a large bowl and toss with the olive oil to coat lightly all over. Sprinkle the salt evenly over the shrimp and toss well to make sure each shrimp is thoroughly coated in a crust of salt.
Heat up a cast iron grill pan or turn the grill on medium high. When hot, place the shrimp in the center of the cooking grate, 3 to 4 minutes per side or until the meat is opaque all the way through when cut into. Arrange 4 shrimp on each serving plate and accompany with a small ramekin of the dipping sauce. The shrimp may also be served on a communal platter with a bowl of the sauce in the center. Provide plenty of napkins and a small bowl for discarding the peeled shrimp shells.