Combine lemon juice with olive oil, garlic, shallot, sazon, and salt.
To devein the shrimp, make a slit down the rounded back portion of the shell. Remove the dark brown vein. Leave the shell intact.
Rinse the shrimp clean under cold water. Repeat the process with the remaining shrimp.
Blot the shrimp dry with paper towels.
Place shrimp in a resealable plastic bag. Pour half of the marinade over the top, and toss to coat with a pair of tongs. Seal the bag and place shrimp in the refrigerator for 20-30 minutes—Reserve the other half of the marinade to make the sauce.
Preheat your grill for medium-high heat or 400 degrees F.
Once the grill comes up to temperature, place your cast-iron pan on the grill to heat up for 5 minutes or until it emits light wisps of smoke.
Next, add 2 tablespoons of olive oil to the pan. Let it heat for 1 minute.
Remove shrimp from the bag and add them to the pan. Discard the remaining marinade in the bag.
Cook for 1 minute per side.
Add reserved marinade to the pan. It will bubble and cook down quickly.
Turn the shrimp once more, and remove the pan from the grill.
The shrimp is done once the flesh and shells turn pink and are firm (not excessively firm) to the touch.
Transfer shrimp to a serving dish. Garnish with chopped cilantro and lemon slices. See below for details.
Optional step: Cut a lemon into fourths, and place them on the grill while the shrimp are cooking. Get a nice golden brown char on both sides, and serve the sliced lemon with the shrimp.