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In a small bowl, combine the cream cheese, peach preserves , adobo sauce and Rib Rub. Set aside.
Cut the down the middle of the shrimp, being careful not to slice all the way through, to create a pocket for stuffing.
Spread a layer of the cream cheese mixture into the shrimp and top with a jalapeno strip. Wrap with bacon and pin with a toothpick. Repeat with the remaining ingredients.
Place the shrimp on the warm side of the grill, flipping ocassionally for a few minutes to warm. Transfer the shrimp to the hot side of the grill and cook about 3 to 4 minutes per side, or until the bacon browns and the shrimp are firm and opaque in color.