Sauté shallots in butter until soft. Do not brown. Add cayenne and shrimp. Stir-cook until shrimp begin to turn pink. Add Cognac and set aflame. Add wine and salt. Bring to a boil, lift from heat, cover and let stand 3 minutes.
Lift shrimp from liquids. Add sugar and boil liquids, reducing them by half. Thicken with beurre manié). Lift pan from heat. Combine milk, Madeira, crème, yolks, and lemon juice. Mix well and then stir into pan. Stir-cook over very low heat until thickened. Do not boil. Add shrimp, heat, and pour into gratin dish, or shallow casserole. Sprinkle with crumbs. Brown under broiler and serve with parsleyed rice. Make rice before cooking the shrimp, but add parsley to rice just before serving. Serves 4. If serving as a first course, spoon shrimp into shells, sprinkle with crumbs, broil, and serve to 6.