In a large skillet, melt butter over medium-high heat until frothy. Whisk in the flour until it becomes a smooth, paste-like consistency. Turn the heat down, and constantly whisking, add in the half and half and whisk until bubbly.
Stir in the ketchup, Worcestershire, lemon juice, black pepper, red pepper flakes, and bay leaves, whisking until smooth. Remove bay leaves.
Turn the heat up slightly. Add in the shrimp and 1/4 cup water, making sure to completely coat the shrimp in the sauce. Cook for 5 minutes. If needed, season more with salt and pepper. Feel free to add more red pepper flakes if desired. Serve immediately over rice.