Preheat the oven to 400 degrees.

Pat the shrimp dry with paper towels and place them on a sheet pan. Drizzle with the olive oil, sprinkle with 1 teaspoon salt and ½ teaspoon pepper, and toss together. Spread the shrimp in one layer and roast for 6 to 8 minutes, turning once while cooking, just until pink and firm and cooked through. Allow to cool on the pan for 3 minutes.

In a large bowl, whisk together the mayonnaise, orange zest, orange juice, vinegar, ½ teaspoon salt, and ½ teaspoon pepper.

When the shrimp have cooled, add them to the sauce and toss. Add the dill, capers, and red onion and toss well.

The flavors will improve if you cover the salad with plastic wrap and allow it to sit at room temperature for 30 minutes. Otherwise, chill for up to 6 hours and serve at room temperature.