Bring reserved shrimp shells and 4 1/2 cups wter to boil in stockpot or large saucepan over medium-high heat. Reduce heat to medium-low; simmer 20 minutes. Strain stock and add clam juice and ice water (you should have about 2 quarts of tepid stock, 100 to 110 degrees); discard shells. Set stock mixture aside.
Heat oil in Dutch oven or large, heavy-bottomed sauce-pan over medium-high heat until it registers 200 degrees on an instant-read thermometer, 1 1/2 to 2 minutes. Reduce heat to medium and stir in flour gradually with wooden spatula or spoon, working out any small lumps. Continue stirring constantly, reaching into corners of pan, until mixture has a toasty aroma and is deep reddish brown, about the color of an old copper penny or between the colors of milk chocolate and dark chocolate, about 20 minutes. (The roux will thin as it cooks; if it begins to smoke, remove from heat and stir constantly to cool slightly.).
Add onion, bell pepper, clelery, okra, garlic, thyme, salt, and cayenne; cook, stirring frequently, until vegetables soften, 8 to 10 minutes (or 10 to 15 minutes if using fresh okra.) Add 1 quart reserved stock mixture in slow, steady stream, stirring vigorously. Stir in remaining quart stock mixture. Increase heat to high; bring to boil. Reduce heat to medium-low, skim off foam on surface, about 30 minutes.
Stir in sausage; continue simmering to blend flavors, about 30 minutes longer. Stir in shrimp; simmer until cooked through, about 5 minutes longer. Off heat, stir in parsley and scallions, adjust seasonings to taste with salt, ground black pepper, and cayenne; serve (traditionally gumbo is served over white rice.).
Roux Making Tip: Luke warm stock and constant stirring are keys to the right consistency.