1. In a bowl, whisk the sambal oelek with the lemon juice, lime juice, orange juice and oregano. Whisk in the 1/2 cup of olive oil and season with salt and pepper.
2. Light a grill or preheat a grill pan. Brush the shrimp with oil and season with salt and pepper. Grill the shrimp over moderate heat, turning once, until cooked through, about 8 minutes. Transfer the shrimp to plates and spoon the dressing on top. Serve.