How to Make It
Peel and devein shrimp, leaving tails intact; place shrimp in a shallow dish. Combine 1/3 cup sherry, crushed red pepper, fennel, and garlic; pour over shrimp. Cover; marinate in refrigerator 4 hours.
Combine sweet red pepper, tomato, shallots, and 1/3 cup sherry in a saucepan. Bring to a boil; cover, reduce heat, and simmer 15 minutes. Uncover and cook over high heat 10 minutes or until liquid evaporates, stirring frequently. Cool completely. Transfer mixture to container of an electric blender; add paprika, hot sauce, and lemon juice. Cover and process 2 minutes or until smooth. Transfer to a bowl; stir in capers. Combine mayonnaise and remaining 1 tablespoon sherry; stir well.
Remove shrimp from marinade; discard marinade. Thread shrimp onto 8 (12-inch) metal skewers. Coat grill rack with cooking spray, and place on grill over medium-hot coals (350° to 400°). Place kabobs on rack; grill, uncovered, 4 to 5 minutes on each side or until shrimp turn pink.
Spoon 1/4 cup pepper puree into each dish. Drizzle mayonnaise mixture over puree. Arrange 6 shrimp in each dish.
Light and Luscious