Use a food processor and pulse together shrimp with water chestnuts, cilantro, scallions, shallots, ginger, and garlic until coarsely chopped. Alternatively, chop by hand. Transfer shrimp mixture to a bowl and season with egg white, Shaoxing wine, hoisin, cornstarch, sesame oil, and black pepper. Mix until well combined.
Pour panko into a bowl. Scoop about 2-3 tablespoons of shrimp meatball mixture and shape into balls. Coat balls in panko and place on a baking sheet pan. Repeat with the remaining shrimp mixture.
Heat 2 tablespoons oil in a large saute pan over medium heat. Arrange meatballs in an even layer and cook until golden brown, about 3 minutes. Flip and cook on the other side until golden brown. Repeat with the remaining meatballs, adding more oil as needed.
Meanwhile, prepare the sauce. Combine water, soy sauce, sugar, sesame oil, sambal, and rice vinegar in a small pot. Bring to a boil over high heat, then reduce heat to low and simmer for 3 minutes. Remove from heat.
Drizzle sauce on shrimp meatballs and garnish with sesame seeds, toasted coconut, and chopped scallions. Serve with extra sauce on the side.