Preheat a grill to medium. Using small, sharp scissors, snip each shrimp shell down the center of the back and, using the tip of the scissors, remove the dark vein, leaving the shells intact. Put the shrimp in a bowl and drizzle with 2 tbsp. EVOO; toss to coat.
In a large bowl, whisk together the remaining 1/3 cup EVOO, the lemon juice, garlic and 1/2 tsp. pepper. Add the bell peppers and onion and toss to coat.
On a large grill topper, grill the shrimp (in 2 batches if necessary) until the undersides are lightly charred, 3 to 4 minutes. Turn with tongs and cook on the second side until the shrimp are just opaque but still juicy, about 2 minutes. Transfer the shrimp to a plate and, when cool enough to handle, pull off the shells (hold the shrimp with a paper towel).
Season the bell peppers with salt and, using a slotted spoon or tongs, transfer to a plate, letting the excess dressing drip back into the bowl. Add the frisee to the dressing in the bowl and toss to coat. Divide the frisee among 4 plates, then top with the pepper salad and shrimp.