Pull 1 wrapper off the stack and place on a flat work surface. Lay 1 cilantro leaf in the center of the wrapper, followed by 1 shrimp curled into a circle. Drizzle 1/8 teaspoon of the Chili Oil on top of the shrimp.
Egg wash with a pastry brush around the top edge of the wrapper. Fold in half, firmly pressing the edges together. Place the dumplings on a baking sheet dusted with semolina.
Fill a wok with 2 cups of vegetable oil and bring oil to 350 degrees F. Cook the dumplings (3 or 4 at a time) for about 2 minutes, turning after 1 minute or when golden brown. Drain on absorbent paper.
Serve warm with mango slices and Saffron-Coconut Milk Sauce, along with Chili Oil on the side.
Pulse the chiles, sambal and grapeseed oil in the food processor. Transfer to a squeeze bottle. Allow the flavors to infuse for at least 30 minutes prior to serving.
Serve at room temperature.
Saffron-Coconut Milk Sauce:
Place the saffron in the white wine and set aside for 20 to 30 minutes. Place the coconut milk and heavy cream in a small pot and over medium heat cook down by half. Whisk in the saffron wine, lemon juice, kosher salt, and cayenne pepper.
Serve the sauce warm.
*Sambal oelek is an Indian spice that can be found in gourmet and specialty markets.