Preheat the oven to 400 degrees.
Dry the shrimp well with paper towels. Place them on a sheet pan with 1 tablespoon olive oil, 1 teaspoon salt, and ½ teaspoon pepper, toss well, and spread them out in one layer. Roast for 10 minutes, until firm and just cooked through. Set aside to cool.
Meanwhile, in a medium bowl, whisk together the mayonnaise, chili sauce, lemon zest, lemon juice, horseradish, Sriracha, Worcestershire sauce, 1 teaspoon salt, and ½ teaspoon pepper. Stir in the scallions and capers. Arrange the shrimp on a platter with the sauce in the middle for dipping. Offer a separate bowl for the discarded shrimp tails.
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