How to Make It
Remove heads and shells from shrimp; set aside. Devein shrimp; place shrimp in a bowl, and chill, covered, until ready to use. Combine shrimp heads and shells, 4 cups water, onion, carrot, wine, celery, cilantro, thyme, garlic, and salt in a large saucepan. Bring to a simmer over medium; cook, stirring occasionally, until mixture reduces to about 3 cups, about 30 minutes. Pour mixture through a fine wire-mesh strainer into a bowl; discard solids. Set stock aside until ready to use. (Stock can be stored in an airtight container up to 5 days in the refrigerator or up to 1 month in the freezer.)
Bring a large saucepan filled with water to a boil over high. Add tomatoes; cook until skins begin to loosen, about 30 seconds. Using a slotted spoon, transfer tomatoes to a bowl filled with ice water; let stand until cool, about 5 minutes. Remove from ice water; peel and discard tomato skins. Remove and discard seeds. Chop tomatoes into 3/4-inch pieces.
Heat 2 tablespoons olive oil in a Dutch oven over medium-high. Add tomato pieces, onion, bell pepper, and dedo de moça chile. Cook, stirring often, until onion and bell pepper are softened, 10 to 12 minutes. Add wine; cook, stirring occasionally, until mostly evaporated, 6 to 8 minutes. Stir in shrimp stock; bring to a boil over medium-high. Reduce heat to medium-low; simmer, uncovered, until mixture reduces by half, about 40 minutes. Reduce heat to low; stir in 1/4 cup coconut milk and 1 teaspoon salt.
Remove shrimp from refrigerator; sprinkle with black pepper and remaining 1 teaspoon salt. Heat remaining 2 tablespoons olive oil in a medium skillet over high. Add shrimp; cook, stirring occasionally, until opaque and cooked through, 2 to 3 minutes. Transfer to a plate.
Stir dendê oil and remaining 1/4 cup coconut milk into stew. Reduce heat to low, and cook 1 minute. Remove from heat; stir in shrimp and chopped cilantro. Serve over rice with lime wedges; garnish with cilantro leaves.