Actually, fresh head-on shrimp are making a MAJOR comeback. I can get them almost every week at several of my local markets here - usually U.S. Gulf Whites. They're lovely. And at one of Asian markets here I've seen them offered still alive & squirming about! Definitely a new adventure for me to try one of these days - lol! But for the most part, shrimp are available year-round, & all have been beheaded & flash-frozen before they reach your market. Some large concerns even do this on board the boats shortly after the catch. Which means, just like much frozen finfish, that your frozen shrimp can actually be "fresher" than what's sold at your market as "fresh, never frozen". But as a simple answer to your question - no, there really isn't any real "season" for shrimp.
Re: oysters - Here on the East Coast, while oysters are generally available year-round in restaurants, fresh in-shells aren't readily available in markets during the "non-R" months. Not due to toxic algae blooms, but more due to the non-R months being the primary spawning months, which makes the texture of raw oysters soft & somewhat mushy/milky.