1) Peel and devein shrimp, leaving tails on. Thread shrimp onto four 12-inch skewers; place in large resealable plastic storage bag.
2) Juice lemons to measure 1/4 cup juice; juice limes to measure 1/4 cup juice. Pour juices into a small bowl. Add orange marmalade and oil. Press garlic into bowl. Snip parsley using kitchen shears. Add parsley and red pepper to ingredients in the bowl; whisk until blended. Reserve 1/4 cup of the marinade for basting. Pour remaining marinade over shrimp. Marinate in refrigerator 45 minutes to 1 hour, turning occasionally.
3) Prepare grill for direct cooking over medium heat. Remove skewers from marinade; discard plastic bag with marinade. Place skewers on grid of grill; brush with reserved marinade. Grill, uncovered, 5-6 minutes or until shrimp appear opaque, turning once and brushing again with marinade.