Combine 1 tbsp oil, 1 tsp garlic, ¼ tsp salt, and ⅛ tsp pepper in medium bowl. Add shrimp, toss to coat, and refrigerate until ready to use.

Place reserved shrimp shells, water, broth, and bay leaf in medium bowl. Cover and microwave until liquid is hot and shells have turned pink, about 6 minutes. Set aside until ready to use.

Toss pasta with 2 tsp oil in broiler safe 12 inch skillet until evenly coated. Toast pasta over medium-high heat, stirring frequently, until browned and nutty aroma (pasta should be color of peanut butter), 6 to 10 minutes. Transfer pasta to bowl. Wipe out skillet with paper towels.

Heat remaining 2 tbsp oil in now-empty skillet over medium-high heat until shimmering. Add onion and ¼ tsp salt and cook until softened and beginning to brown around edges, 4 to 6 minutes. Add tomatoes and cook, stirring occasionally, until mixture is thick, dry, and slightly darkened in color, 4 to 6 minutes. Reduce heat to medium, add remaining garlic, paprika, smoked paprika, and anchovy paste, and cook until fragrant, about 1 ½ minutes. Stir in pasta until combined. Adjust oven rack 5 to 6 inches from broiler.

Pour shrimp broth through fine-mesh strainer into skillet; discard shells. Add wine, ¼ tsp salt, and ½ tsp pepper and stir well. Increase heat to medium-high and bring to simmer. Cook, stirring occasionally, until liquid is slightly thickened and pasta is just tender, 8 to 10 minutes. Scatter shrimp over pasta and stir to partially submerge. Transfer to skillet to oven and broil until shrimp are opaque and surface of pasta is dry with crisped, browned spots, 5 to 7 minutes. Remove from oven and let sit, uncovered, for 5 minutes. Sprinkle with parsley and serve immediately with lemon wedges.