Meanwhile, make the sauce. In a large bowl, whisk together the mayonnaise, orange zest, orange juice, vinegar, 1/2 teaspoon salt, and 1/2 teaspoon pepper. When the shrimp are cool, add them to the sauce and toss. Add the dill, capers, and red onion and toss well. The flavors will improve if you allow the salad to sit at room temperature for 30 minutes. Otherwise, chill and serve at room temperature.