In a small bowl, combine 1/4 cup of the olive oil with 2 tablespoons of the lemon juice, the minced garlic and the oregano. Season with salt and pepper and add the shrimp; toss to coat.
In a food processor, pulse the almonds with the 2 whole garlic cloves, the parsley and mint until finely chopped. With the machine on, add 1/2 cup of the olive oil in a thin stream, scraping down the sides of the bowl. Season with salt and pepper and transfer the pesto to a bowl.
In a large bowl, combine the remaining 1/4 cup of olive oil with the remaining 2 tablespoons of lemon juice. Season with salt and pepper. Add the watercress and fennel and toss to coat. Add three-fourths of the feta and season with salt and pepper. Transfer to plates.
Preheat a grill pan or cast-iron skillet. When the pan is hot, add the shrimp and cook over high heat, turning once, until pink and browned in spots, 4 to 5 minutes. Place the shrimp on the salad and top with the remaining feta. Spoon some pesto on top and serve right away, passing the remaining pesto on the side.
A bold Tuscan white, such as a Vernaccia di San Gimignano from Italy.