Toss the shrimp with the 2 tsp salt and the baking soda. Put the bowl in the fridge to dry brine for 15–30 minutes.
Put the water, shrimp shells, if using, chopped celery, shallots, peppercorns, bay leaves, wine, salt for stock, Old Bay, all but 1 large sprig of parsley, and one lemon, squeezed, in a pot. Bring to a boil, simmer briefly, and strain.
Set 1 qt of the stock aside for the ice bath.
Chill the main portion of stock until it is below 100°F (38°C). (The stock making can be done a day ahead and the stock chilled overnight.)
Put the stock back in the pot. Add the shrimp, now brined, to the stock and turn on the heat.
As the stock heats, stir the shrimp so make sure they don't cook on the bottom of the pot.
Make the ice bath with the reserved quart of stock and plenty of ice.
Check the hot stock temp with your Thermapen ONE from time to time. When the stock passes 140°F (60°C), start to check the shrimp temperature. When the shrimp reach 140°F (60°C), remove them from the hot stock directly to the iced stock bath.
Once the shrimp have cooled, drain them, toss them with the rest of the parsley, minced, and fresh-ground black pepper.
Plate the shrimp and serve with cocktail sauce!