Preheat the oven to 400°F (200°C). Scrub the potatoes well, then dry them completely. Rub them with olive oil and prick with a fork a few times. Wrap in foil, place on a baking sheet, and bake for about an hour until tender inside and crisp outside.
While the potatoes bake, season the shrimp with olive oil, Old Bay, onion powder, and cayenne. Heat a skillet over medium heat, cook shrimp for 2–3 minutes on each side until just pink, then remove from heat. Chop half the shrimp and save the rest whole for garnish.
In the same skillet, melt butter and sauté the shallot, garlic, and chopped onion–celery–bell pepper mix until soft. Deglaze with white wine, letting it reduce by half. Stir in heavy cream, crawfish tails, paprika, Crab Boil, and a pinch of salt and pepper. Let it simmer gently for 5 minutes before adding cheese. Stir until smooth and creamy.
Once the baked potatoes are ready, slice them open and scoop the flesh into a bowl. Mash with sour cream, milk or cream, butter, and cheese until fluffy. Fold in the chopped shrimp and season to taste.
Fill the potato skins with the mashed mixture. Sprinkle more cheese on top, spoon over the crawfish cream sauce, then place whole shrimp on top. Return to the oven for 5 minutes to melt the cheese fully.