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Preheat the oven to 400ºF.
Peel and devein the shrimp. Place them on a sheet pan with the olive oil, 1 teaspoon salt and 1/2 teaspoon pepper and toss together. Spread the shrimp on one layer and roast for 6 to 8 minutes, just until pink, firm and cooked through. Allow to cool for 3 minutes.
Meanwhile, make the sauce. In a large bowl, whisk together the mayonnaise, orange zest, orange juice, vinegar, 1/2 teaspoon salt, and 1/2 teaspoon pepper. When the shrimp are cool, add them to the sauce and toss. Add the dill, capers, and red onion and toss well. The flavors will improve if you allow the salad to sit at room temperature for 30 minutes. Otherwise, chill and serve at room temperature.