In a medium bowl, whisk together the olive oil, lime juice, curry powder, salt and pepper. Add the shrimp and toss to coat. Let it rest for 10 minutes.
Thread the shrimp onto 4 skewers, running the shrimp through the body and tail of the shrimp.
Lightly brush the onions and peppers with some of the marinade. Pour the rest of the marinade into a small saucepan, bring to a boil and simmer for about 4 minutes.
Place the onions and peppers onto the grill and cook until lightly charred and tender, about 3 minutes per side. Remove from the grill and dice the onions and peppers. Mix them into the simmering marinade. Remove from the heat and stir in 1 tablespoon of cilantro.
Place the shrimp skewers on the grill and cook until the shrimp is just cooked through, 1 to 2 minutes per side. Take care not to overcook the shrimp or they will become rubbery.
Remove the shrimp from the skewers, divide them between 4 plates, and spoon the onion sauce over the shrimp. Garnish with the remaining cilantro. Serve.