- Oil grill and preheat barbecue to medium-high heat.
- Prepare the dressing: In a medium bowl, whisk together milk, mayonnaise, lemon juice, garlic, anchovies, Worcestershire, Dijon, salt and pepper.
- Prepare the salad: Slice romaine in half lengthwise, leaving core intact. In a medium bowl, whisk together lemon juice, oil, salt and cayenne. Lightly brush over cut side of romaine. Set romaine aside on a tray. Place shrimp in remaining lemon juice mixture. Stir to coat. Skewer shrimp for easier grilling.
- Place romaine cut-side down on grill. Place shrimp on grill. Barbecue romaine, turning once, and shrimp, turning frequently, until marks appear on both and shrimp are cooked through, about 5 minutes.
- Set each romaine half on a plate. Scatter with shrimp and croutons. Drizzle with dressing. Sprinkle with parmesan. Refrigerate remaining dressing for up to two days.
Variation: Skip the anchovies and add capers to the dressing, then sprinkle salad with cooked bacon bits.
Cooking tip: If using wooden skewers, pre-soak skewers in water to prevent them from burning on the grill.