Add all the sauce ingredients, except the oil, to a food processor. Pulse to chop. With the motor running, add the oil in a steady stream to blend. Transfer to a bowl and refrigerate until ready to use.
With the grill in the off position and cool, replace the right-side grate with the reservoir and fill with water up to the fill line. Place the reversible steam pan onto the water reservoir with the walls of the pan facing up.
Place the frozen shrimp on the steam pan in the COLD grill. Preheat the grill with the control knob in the high position.
Check if the shrimp has defrosted after 5 to 10 minutes, adding more time if necessary.
After the shrimp have defrosted, brush the cooking grates clean with a stainless steel bristle grill brush, and move the shrimp to the cooking grate.
Baste with the chimichurri sauce, reserving ¼ cup for serving.
Grill until the shrimp are pink and opaque, 2 to 3 minutes.
Remove from grill and serve with the remaining chimichurri sauce.
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