1. Preheat grill to high heat (400° to 450°).
2. Combine sugar and 2 cups water in a medium saucepan over medium heat, stirring until sugar dissolves. Transfer 1 1/2 cups syrup to a bowl; set aside.
3. Add bell peppers and next 3 ingredients to remaining syrup in saucepan. Simmer over medium heat 25 to 30 minutes or until liquid is syrupy and peppers are tender.
4. Meanwhile, combine shrimp, 2 tablespoons oil, lime juice, and next 4 ingredients in a large bowl. Grill shrimp 4 minutes on each side or until cooked through; set aside.
5. Brush each side of watermelon with reserved syrup and remaining 2 tablespoons olive oil. Grill 1 minute on each side.
6. Arrange watermelon and shrimp on serving plates, squeeze lime over watermelon and shrimp, and top with pepper marmalade. Garnish, if desired.