Add enough oil in skillet to come 2 inches up the side of the pan. Heat oil to 375 degrees F.
In a small mixing bowl, whisk together mayonnaise, heavy cream and Szechuan seasoning.
Once oil is heated, in a large bowl combine tempura mix and ice water. Mixture will be thick and lumpy. Working in batches, dip rock shrimp in batter (shaking off any excess) and add to oil. Fry for 2 to 4 minutes or until golden brown. Remove shrimp from oil and drain with a slotted spoon. Make sure oil temperature does not fall below 350 degrees F. Skim oil between batches.
In a large bowl toss cooked shrimp in sauce until lightly coated. Serve warm on endive leaves. Top with french-fried onions.
*If rock shrimp are not available, use peeled and deveined shrimp.