Turn the broiler on. Arrange the vegetables on a grill pan or in a cast-iron skillet (or baking sheet). Drizzle the vegetables with the oil and season with salt and pepper. Transfer to the broiler until charred and softened, about 4-6 minutes. Flip once during cooking and check the vegetables regularly to ensure they don't burn. If using a grill pan, set aside and reuse for the bread later!
Remove the vegetables from the broiler and transfer to a food processor and pulse until puréed. Transfer to a bowl and stir in the Amarillo paste, if using. Season with salt and pepper. Set aside.
Start the Fennel:
Heat the oil in a wide pot over medium-high until very hot. Add the sliced fennel and cook without moving for 5 minutes. Season with salt and pepper.
Grill the Bread:
As the fennel is cooking, heat a pat or two of butter or a drizzle of extra virgin olive oil in the grill pan over medium heat. Once hot, add the bread and cook without moving for 2-3 minutes until very toasted. Flip and reduce the heat to low to allow the bread the continue to toast as you cook the shrimp.
Finish the Spicy Shrimp:
Pat the shrimp dry and season with salt and pepper. Add them to the pot, in an even layer, with the fennel and cook without moving for 1-2 minutes.
Pour the reserved puréed sauce into the pot and bring to a boil. Stir in 1/3 cup water and the butter, if using, swirling the butter around the pot to incorporate it into the sauce. Cook for 2-3 minutes or until the shrimp are opaque and cooked through. Taste and season with salt and pepper. Turn off the heat.
To Serve:
Spoon a bit of the sauce into shallow bowls and use the back of your spoon to smooth it out across the bottom of the bowl. Place a piece of grilled bread in the center and pile the shrimp and more sauce on top. Garnish with the reserved fennel fronds. Enjoy!