When I've tried starting shrimp/lobster/scallops low and slow, they got chewy. That's not necessarily a bad thing, it just is. My preference is to do them Hot And Nasty, and let them ride for the full 8 (Miles High) seconds. [Sorry, had to get the second music reference in. ] Actually, 3-6 minutes TOTAL, depending on size and grill temp.
Re rubs for shrimp...
I like to keep it simple. My preference is Spanish/Mediterranean style. Coat the fresh shrimp with a good EVO (my preference is one made from arbequina olives) and dust with agridulce pimentón (spanish paprika, the middle one between dulce and picante). [I've seen it labeled "bittersweet" on some U.S. packaging.] Grill hot and fast, turning once.
The paprika and olive oil really bring out the flavor of the shrimp.