For the shrimp gravy: Melt 2 tablespoons of the butter in a large saucepot over medium-high heat and saute the shrimp until just pink, 2 to 3 minutes. Remove from the pot with a slotted spoon to leave all of the shrimpy flavor and reserve.
Add the remaining 10 tablespoons butter and the shallots to the same pot and cook until softened, without browning, 3 to 5 minutes. Mix in the tomato paste, cooking 1 minute. Stir in the flour and continue cooking until the flour has cooked out but does not brown, 2 minutes.
Deglaze the pot with the sherry, scraping up any flour from the bottom of the pan. Slowly whisk in the hot shrimp stock in stages to avoid lumps. Then add in the heavy cream and thyme and continue simmering until thick and creamy, 15 to 20 minutes. The sauce should be thick enough to coat the back of a spoon. Season with salt and pepper and keep warm on the stovetop until ready to use, adding the shrimp back in just before serving.
For the fries: Add oil to a Dutch oven and heat to 340 degrees F (temperature will lower when you add the first batch and that's ok). Working in batches, fry the potatoes 2 minutes and transfer to a wire rack on a baking sheet. Let them cool slightly while increasing the temperature of the oil to 375 degrees F. Return the fries to the hot oil and fry until golden brown and crispy, 1 to 2 minutes. (The double fry is the secret to crispy fries.) Transfer to another baking sheet with a wire rack and season with salt and pepper.
Plate the fries in a shallow bowl and top with the cheese curds. Pour the shrimp gravy over the top, garnish with thyme and lemon wedges and enjoy!