Combine the coconut milk, chili garlic sauce, and lime juice in a mixing bowl. Pour about ⅓ of the marinade into a large food storage bag. Close the bag and shake to mix. Add the shrimp, toss well to coat, and refrigerate for 30 minutes.

Prepare the grill for direct heat and preheat to medium-high.

While the shrimp marinates, pour the remaining marinade into a saucepan and cook on the grill until thickened and reduced by half. Let cool and pour into a small serving bowl.

Remove the shrimp from the bag and discard the marinade. Thread the shrimp onto 6-8 skewers. (Two-prong metal skewers work best, but you can use what you have. If using wooden skewers, soak in water for 30 minutes before using.)

Brush the grill grates with oil and cook the shrimp 3 minutes per side with the lid closed. Place the shrimp on a platter, top with the coconut, and serve with the sauce.