Preheat oven 375 with rack in middle. Cook onion and garlic in oil with 1/4 tsp salt in in 4 qt. heavy saucepan over medium heat until softened. Stir in spices and cook, stirring, 30 seconds.
Add chopped tomatoes with juice and sugar and simmer, uncovered stirring occasionally, until slightly thickened about 20 minutes. Remove from heat.
Season shrimp with 1/8 tsp. salt then stir into tomato sauce. Transfer to a 2 quart shallow baking dish and top with feta.
Bake until cooked through, 18-30 minutes. Serve sprinkled with dill.
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