Heat oven to 425F. Spray a baking sheet with olive oil spray (or line with parchment).
Mix the coconut, breadcrumbs, and 2 Tablespoons of cornstarch in a shallow dish. Pour the remaining cornstarch into a second dish; pour the coconut milk into a bowl.
Dip the shrimp into the cornstarch, then into the coconut milk. Dredge in the coconut-panko mixture. Arrange in a single layer on the prepared baking sheet; spray the tops of the shrimp with olive oil spray. Bake 10 minutes. Turn and bake another 8-10 minutes or until coconut begins to toast.
Combine the coconut milk, pineapple, and sugar in a small saucepan over low heat; simmer 10 minutes.
In a small bowl, whisk together cornstarch and water to create a slurry. Whisk the slurry into the sauce; cook 3 minutes. Remove from heat and let cool to room temperature.