Whisk the chili sauce with the butter and orange juice in a saucepan set over medium heat. Bring to a boil. Stir in the rum, half of each the chives, and the coriander, mustard, vanilla and garlic. Remove from the heat and cool completely.
Slice lengthwise through the top of each shrimp shell and almost all the way through the meat of each shrimp so that they can lie flat. Toss the shrimp with half the sauce mixture. Set aside.
Preheat the grill to medium-high and grease lightly. Grill shrimp for 3-5 minutes per side or until cooked through. Baste shrimp often with the reserved sauce. Gently toss hot, cooked shrimp, with any remaining sauce mixture. Sprinkle with remaining chives and coriander.
TWIST 1: For a delicious surf and turf meal, serve the shrimp alongside grilled steaks brushed eith BBQ sauce.
TWIST 2: For another tropical taste experience, use pineapple juice instead of orange juice.
TWIST 3: For a flavorful alcohol-free version, omit the rum and substitute for more chili sauce.