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Preheat an outdoor grill or stovetop grill pan to high heat.
In a bowl, combine the EVOO, orange juice and zest, and salt and pepper to taste. Add the shrimp and toss to coat the shrimp completely. Place the shrimp on the grill and cook for 3 minutes each side, or until the shrimp are pink and have curled up. Remove the shrimp from the grill onto a backing sheet or large plate in a single layer. Place in the refrigerator to chill.
In a bowl, combine the mayonnaise, Creole mustard, grated onion, celery, horseradish, Worcestershire sauce, hot sauce, paprika and parsley. Store the remoulade sauce in the refrigerator until the shrimp are chilled.
To serve, surround a bowl of the remoulade sauce with the chilled grilled shrimp.