On rimmed baking pan, toss lemon, shrimp, oil and salt until well combined.
Transfer to oven and roast 10 minutes or until shrimp are opaque throughout, stirring once halfway through roasting.
Transfer shrimp to refrigerator and chill 1 hour or up to overnight.
In bowl of food processor fitted with knife blade attachment, process garlic, cream cheese, piquillo peppers, milk, lemon juice, Worcestershire sauce and black pepper until smooth. Refrigerate until ready to serve. Makes about 1 cup dip.