The coconut in this recipe lends a certain sweet creaminess and also emphasizes the shrimp's own sweet flavor. As a main course it should be served with white rice, which is a great starchy companion as it absorbs the sauce well so you can fully enjoy it.
Peel the shrimp, leaving the last segment of the shell attached. Devein and rinse the shrimp. Set aside.
With a pointed instrument, pierce two of the three soft ‘eyes’ of the coconut. Shake the liquid into a large measuring cup and add just enough milk to make 3 cups. Crack open the coconut, remove the meat and peel it. Coarsely chop all the coconut meat and place half of it, with half the liquid, in a jar of an electric blender and blend or process thoroughly. Repeat with the remaining coconut meat and liquid. Set aside.
In a large enameled saucepan, melt the butter over medium heat. Add the onion, cayenne, and hot pepper and saute until the onion is translucent, about 4 minutes. Do not brown the onion. Stir in the liqueur and continue cooking until all the liqueur has evaporated, about 1 minute. Mix in the flour and cook, stiffing constantly, for a few seconds, to absorb all the flour. Add the blended coconut and salt, bring to boil, stirring. Lower the heat and gently simmer for 10 minutes, stirring occasionally.
Remove from heat and set aside to cool for 5 to 10 minutes. Take out and discard the pepper and blend thoroughly in two batches in the jar of an electric blender. Force the coconut mixture through a fine sieve and squeeze out the liquid, discarding the pulp. This will yield about 4 cups of sauce. Stir in the cornstarch and let sit for about 5 minutes.
Stir the strained coconut mixture and pour it into an earthenware casserole dish large enough to hold all the shrimp. Bring to a gentle simmer, stirring, over medium heat. Continue to cook, stirring now and then for 10 minutes, or until the sauce is thick enough to coat the back of a spoon.
Add the shrimp, stir, cover the casserole, and cook over low heat for another 2 or 3 minutes, or until the shrimp are barely cooked. Remove from heat and season with salt to taste. Serve from casserole dish, garnish with chopped dill.