To prepare shrimp, combine first 5 ingredients in a Dutch oven. Bring to a boil and cook, covered, 5 minutes. Add shrimp; cook, uncovered, 3 minutes or until shrimp are done. Drain; discard bay leaf and onion. Rinse shrimp with cold water. Chill 1 hour.
To prepare salsa verde, combine flat-leaf parsley and the next 10 ingredients (through garlic clove) in a blender. Process until smooth. Pour into a bowl; cover and chill.
To prepare horseradish sauce, combine chili sauce, ketchup, horseradish, and 2 tablespoons juice. Add hot pepper sauce, if desired. Cover and chill. Serve shrimp with sauces.