Shelled shrimp is a mite tricky in a smoker,I garrahntee.
The whole heads on shrimps are called for, because the fat and most of the flavor is in dem heads.
The shells will provide the natural shrimp stock,that is a flavor essential.
If it is a sauce of butter,garlic,Lee& Perrin's,lemon,hot sauce,sauterne or dark beer and some Italian type spices-I'd cook it in a very shallow pan and check the shrimps in about 20 mins.
Let the butter sauce protect dem shrimps and get them out, when they jus be turnin' pink.
If you was bakin'dem shrimps at high temp,any good "coonass"tell you eat dem crispy shells.
I cook at max. temp,start the smoke rolling- before you put the pan in.
Some crispy french bread fo' soppin's and a cold Abita,make ya feel like "coonass" heaven.
What are the pros and cons of the shrimp being shelled or not? Will it seal in the flavor better or is this simply an aesthetic requirement?