There’s several places around here that do fantastic salt-and-pepper shrimp this way (whole, shell-on, light dusting of batter, deep-fried). The head really is the best part with its luscious cache of shrimp fat. Do give it a shot next time.
I buy bags of frozen shrimp called “E-Z Peel” at the local Harris-Teeter. These are split down the back before they are frozen. After you boil them it’s very easy to slip them out of their shells. Most of the vein is gone by that point for maybe a little bit in the tail.