If grilling or broiling, and using wooden skewers, soak skewers for at least 30 minutes.
Marinate Shrimp -In a bowl, add lime juice, coconut milk, sambal, shrimp paste, kecap manis, palm sugar, lime zest, and crushed garlic. Stir well until the sugar has dissolved. Stir in the shrimp and marinate on the counter for 15 to 20 minutes.
Assemble Sate - Drain the shrimp, reserving the marinade in the bowl. Thread 3-4 shrimps onto each skewer, if using. Brush shrimps lightly on both sides with oil.
Cook Shrimp - If grilling, pace over hot coals and cook a few minutes on each side until just done. Be careful not to overcook them or they will become dry and chewy. If broiling, place shrimp, with or without skewers, and broil under high heat until cooked through, a few minutes on each side. If pan-frying, again with or without skewers, cook over medium-high heat until cooked through, a minute or two on each side. Be careful to keep from crowding so shrimp will fry and not steam.
Serve - Make sauce by pouring marinade, a little coconut milk and kecap manis into a small saucepan over low heat until heated through.Serve sauce on the side. Place shrimp over soft lettuce leaves ringed with cucumber slices and a small bowl of the sauce.