Preheat the oven to 425 degrees F.
Peel, de vein, and butterfly the shrimp, leaving the tails on. Place the shrimp in a mixing bowl and toss gently with the olive oil, wine, 2 teaspoons salt, and 1 teaspoon pepper. Allow to sit at room temperature while you make the butter and garlic mixture.
In a small bowl, mash the softened butter with the garlic, shallots, parsley, rosemary, red pepper flakes, lemon zest, lemon juice, egg yolk, panko, 1/2 teaspoon salt, and 1/4 teaspoon of pepper until combined.
Starting from the outer edge of a 14-inch oval gratin dish, arrange the shrimp in a single layer cut side down with the tails curling up and towards the center of the dish. Pour the remaining marinade over the shrimp. Spread the butter mixture evenly over the shrimp. Bake for 10 to 12 minutes until hot and bubbly. Sprinkle with Feta. If you like the top browned, place under a broiler for 1 minute. Serve with lemon wedges.