To prepare marinade, combine first 7 ingredients in a zip-top plastic bag; seal and marinate in refrigerator 1 hour, turning bag occasionally. Remove shrimp and bell pepper from bag; discard marinade.
To prepare the sauce, combine coconut milk, peanut butter, lime juice, and sugar in a blender, and process until smooth. Stir in cilantro; set aside.
Thread shrimp and bell pepper onto each of 4 (12-inch) skewers. Place kebabs on grill rack coated with cooking spray; grill 8 minutes or until done, turning once. Remove from heat; drizzle each serving with 1 tablespoon peanut sauce. Serve with remaining peanut sauce and lime wedges.