Whisk together the wine and the tomato paste in a medium saucepan until the tomato paste dissolves.
Stir in the broth, fennel seeds, salt, cayenne pepper, paprika, bay leaf and thyme sprig; bring to a boil over medium-high heat. Reduce the heat to medium low and simmer until slightly reduced and very flavorful, about 15 minutes.
Pour the broth mixture through a fine wire-mesh strainer into a clean saucepan; discard the solids. Add the coconut milk, lemon zest and lemon juice to the broth mixture; bring to a simmer over medium heat. Add the shrimp and simmer until the shrimp are just cooked through, about 3 minutes. Remove from the heat and add the butter, stirring until the butter melts. Serve the soup in shallow bowls and sprinkle with the parsley.
Photograph Courtesy of Time Inc. Books/Alison Miksch.