Preheat oven to 400°F. Spray baking sheet with nonstick cooking spray. Gather 3 small bowls. Combine flour, paprika, salt, pepper, and cayenne in the first bowl. In the second bowl, pour in the coconut milk, and the third bowl mix together panko crumbs and coconut.
Rinse shrimp and pat them dry. Dip each piece of shrimp first in flour mixture, then coconut milk, then finally the panko and coconut mixture. Make sure to dip and coat both sides well. Place on the prepared baking sheet. Continue until all shrimp are well coated. Lightly spray the top with nonstick cooking spray. Bake 15-20 minutes until golden, pink, and cooked completely through. Meanwhile, make the pina colada dip. In a medium bowl, whisk together sour cream, coconut cream, crushed pineapple, sugar, coconut rum (if using), and lime juice. For a creamy sauce, combine ingredients in a blender and pulse until smooth. Top with lime zest if desired.
Serve coconut shrimp with pina colada sauce.
Store leftovers in an airtight container in the refrigerator for up to 4 days. The sauce can be stored in an airtight container in the refrigerator for up to 1 week.