You can use a separate drip pan underneath the food, but not so close to the food that is causes heat baffling near the food...I like to leave at least one empty grate space above the drip pan. Another option is to line your water pan (wet or dry) with foil before starting your smoke if you won't be defatting the drippings to add back to your food at some point...this keeps the drippings from messing up your water pan and make for quick and easy clean up. With anything you smoke in a pan you will experience less smoke flavor. Some use pans to cook certain dishes which have a lot of liquid, but to do so with solid foods takes away from the benefits of open grate cooking, such as bark development and crisping on the surface without using high heat...especially true with high-fat foods like bacon.
Also, when cooking low and slow, open grate cooking allows fats to render out and drip away, leaving a healthier food when finished. With your bacon wrapped stuffed shrimp, this will also hold true. Foods cooked in rendered fat tend to be very greasy if they cool down much (best served very hot), and if cooked on open grates, your bacon will have the opportunity to crisp up a lot more than if cooked in a pan.
If the stuffing ingredients have cheese or something else which could run out during cooking, then panning it to cook may be your best option, but it's a compromise of sorts at that point.
It really comes down to personal preference and everyone has their reasons for placing food in a pan, using a drip pan or foiling the water pan...just tossing you some food for thought...it's up to you.
Eric