Thaw shrimp, if frozen. Peel and devein shrimp. Rinse shrimp with cold water; pat dry with paper towels. Chop shrimp; set aside. In a large skillet cook bacon over medium heat for 3 minutes. Add onion, celery, and sweet pepper; cook and stir about 5 minutes more or until onion is tender and bacon is crisp. Add flour and tomato paste, stirring until combined. Cook and stir for 1 minute more. Stir in shrimp, broth, Worcestershire sauce, and thyme. Cook and stir about 3 minutes more or until shrimp are opaque. Remove from heat. Stir in butter. Season to taste with salt and black pepper. Set aside.
Meanwhile, using clean 100-percent-cotton kitchen string, tie each steak around its perimeter; secure with a double knot. Sprinkle all sides of the steaks with salt and black pepper.
For a charcoal or gas grill, place steaks on the rack of a covered grill directly over medium-high heat. Grill for 6 to 10 minutes or until meat is browned. Remove steaks from the grill. Place a large piece of heavy-duty foil on one side of the grill rack. Reduce grill temperature to medium-low.
Using the sharp tip of a paring knife, cut an X in the top of each seared steak, cutting about halfway through, but not all the way to, the bottom. (Interior should be very rare.) To increase the pocket size, lift each point of the X and use kitchen shears to snip the beef and create four flaps that open to the center of the steak. Using your hands, gently press the flaps open.
Using a small spoon, push some of the shrimp mixture under the flaps of each steak. Spoon the remaining shrimp mixture on top of the flaps to create a small cap on each steak. Arrange steaks on the foil on the grill rack. Cover and grill steaks over medium-low heat for 10 to 12 minutes more or until medium rare (145 degrees F).
Sprinkle steaks with parsley. Let stand for 5 minutes before serving.