Melt 1 tablespoon butter in large pot over medium; sauté shells 3-4 minutes until pink and fragrant. Add 1 cup broth; simmer 10 minutes. Strain, discard shells, and reserve broth.
Melt remaining 2 tablespoons butter in same pot; cook onion and celery about 5 minutes until softened, then garlic 1 minute.
Sprinkle in flour; stir constantly 2 minutes to form roux. Slowly whisk in reserved shrimp broth and remaining 2 cups broth.
Add tomato paste, sherry, paprika, and cayenne; simmer 10 minutes, stirring occasionally.
Cook shrimp 3-4 minutes until just pink and cooked through; remove and reserve about half.
Carefully immersion-blend smooth and creamy, or use regular blender in batches.
Add cream and reserved whole shrimp; heat through and season with salt and pepper. Garnish with parsley; serve hot with crusty bread.