Preheat the 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 saute pan over medium heat. Add chopped coconut flakes.
Toast until lightly golden brown and crisp, not all of the flakes will get toasted completely. You just want to add a little bit of color. Shake the 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 the 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 sides. Shake off excess cornstarch. Dip shrimp in the 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 the greased rack on the sheet pan. Repeat with remaining shrimp.
Before baking, remove any bits of coating from the sheet try that may have fell. 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 the 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 teaspoons 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.