Preheat oven to 425 degrees F. Line a baking sheet with foil and lightly coat with nonstick cooking spray. Finely shred 1 teaspoon peel from lime; set aside. Squeeze juice from lime. In a blender combine lime juice, 1 cup of the chopped mangoes, the honey, and cayenne pepper; cover and process until smooth. Place 1/4 cup of the mango mixture in a shallow dish. Transfer remaining mixture to a bowl; top with lime peel and snipped fresh cilantro. Set aside for dipping sauce.
Rinse shrimp; pat dry with paper towels. Sprinkle shrimp with salt. Place coconut in shallow dish. Dip shrimp in the 1/4 cup mango sauce and then in coconut, pressing to coat. Place on the prepared baking sheet.
Bake for 8 to 10 minutes or until coconut is golden and shrimp are cooked through. Serve with dipping sauce, remaining chopped mango, additional cilantro, and lime wedges.