It looks like you didn't pre-cook the bacon enough. Shrimp do not take long to cook so you almost need to cook the bacon all the way. I usually pull the bacon right before it starts getting crispy. Over a hot fire, shrimp might only take a couple minutes. Any more than that it can get tuff.
It does take practice as different size shrimp take different times to finish.
When I grill bacon wrapped shrimp, I grill over direct heat, 350 or so. I base with BBQ sauce during the last 30-45 sec of grill time.
Thin bacon works best for this.
Bubba Keg / Stumps Baby / Super Fast Yellow Thermapen / Lodge Cast Iron Grill / Smoke Vault