Preheat oven to 400°F. Place a wire rack on a baking sheet and lightly coat with baking spray or oil. Set aside.
Chop coconut flakes into smaller pieces.
Heat a medium sized saute pan over medium heat. Add chopped coconut flakes. Toast flakes until lightly golden brown and crisp, not all of the flakes with get toasted completely. You just want to add a little bit of color. Shake pan every 30 seconds, toast about 4 to 5 minutes, or until light golden in color. Transfer to a shallow baking dish.
In the same pan heated over medium heat, add panko bread crumbs. Toast until light golden brown, shaking the pan every minute, about 5 to 7 minutes. Add to baking dish with toasted coconut. Stir to combine. Set aside.
Wash peeled and deveined shrimp, then pat dry with a paper towel. Add cornstarch to a small bowl. Working one shrimp at a time, lightly dip each piece of raw shrimp into the cornstarch coating all side. Shake off excess cornstarch. Dip shrimp in whisked egg, then dip in coconut mixture, pressing in the coating on top the shrimp. Lightly dip the shrimp again in the egg, then in the coconut mixture and press, ensuring that the entire shrimp is coated. Transfer to greased rack on sheet pan. Repeat with remaining shrimp.
Before baking make sure that any small bits of coating that has fallen onto the sheet tray once you added the breaded shrimp is removed. The high baking temperature will burn the panko coconut coating if left on the bottom of the pan.
Bake shrimp in the center of the oven for 14 to 15 minutes, until crisp on the outside and shrimp is fully cooked. It should look pink and tighten into a loose C shape. Meanwhile make the orange sauce.
In a small pot add orange juice, zest, soy sauce, honey and red pepper flakes and bring to a boil over medium-high heat. In a small bowl whisk together 1 teaspoon cornstarch and 2 teaspoon water. Add cornstarch mixture to the hot liquid and whisk continuously until the mixture slightly thickens, about 1 minute. Transfer to a small serving bowl.
Serve baked coconut shrimp on and platter with orange dipping sauce. Enjoy while warm!