Peel and devein shrimp, leaving tails intact; discard the shells.
Bring 3 quarts water to a boil in a Dutch oven. Add shrimp; cook 3 minutes or just until shrimp turn pink. Drain and rinse with cold water; drain. Place shrimp in a large bowl. Add bell pepper, fennel, shallots, and garlic; toss to combine.
Combine rind and next 6 ingredients (through pepper) in a medium bowl, stirring with a whisk. Gradually add oil, stirring constantly with a whisk. Stir in bay leaves. Combine oil mixture and shrimp mixture in a large zip-top plastic bag; toss well to coat. Seal and marinate in refrigerator at least 8 hours or up to 24 hours, turning bag occasionally. Discard bay leaves.