You don't eat the shrimp heads normally,although some people might try to. The head comes off easily either using your fingers or utensils. Chefs prefer to cook shrimp intact because they feel it has more flavor that way.
DH and I went there the second day it opened as walk ups. We ate in the Mess Hall,but would prefer one of the smaller rooms next time. We researched the back story beforehand so we would understand what we were experiencing. The bad jokes from the servers, to imitate the boat captains, made the meal that much more fun. The menu is purposely exotic and out of the box to fit the venue, so people need to be open to try new tastes. We loved the bread service and dip. The Shu Mai,the felafel,soup.....it was all wonderful. I even bought one of the special drinks with the copper mug- it's metal, not a plastic cup,so I thought it was worth being a keeper.
We would definitely go back. It's the perfect example of how Disney tries to make a meal a memorable experience. Make sure you check out all the decorations and the bulletin board is funny.........