Make the marinade. In a small blender or food processor, combine the coconut milk, curry paste, cilantro stems, garlic, ginger, fish sauce, lime juice, brown sugar, and salt. Blend until mostly smooth.
Prep and marinade the shrimp. If you’re using frozen shrimp, make sure to defrost them completely and then pat them dry with paper towels. Transfer the shrimp to a shallow dish or ziplock bag and pour the marinade over the shrimp. Toss to coat the shrimp and then marinate for 1 hour.
Prep your grill. Preheat an outdoor grill over medium heat to 500 F. Let the grill preheat for a full 15 minutes. Make sure the grates are cleaned of any debris and lightly grease them with oil or nonstick cooking spray.
Make the slaw. While the grill preheats, make the cabbage slaw. In a large mixing bowl, whisk together the mayo, red curry paste, lime juice, and honey and season with salt and pepper. Add the cabbage, shallot, and herbs and toss well to combine. Top with the chopped peanuts.
Grill the shrimp. Remove the shrimp from the marinade, shaking off any excess. Grill the shrimp in the shells for 3-4 minutes, flip them, then grill for another 2-3 minutes. The shrimp should be pink and opaque. Remove them from the grill and squeeze one of the grilled limes over the shrimp.
Serve. Serve the shrimp over the slaw or with salad and rice on the side and more grilled limes for serving.