Think about the logistics of the food and your oven. (and I am NOT a scientist or anything like that, but, to me, it is common sense)
As GG explains, specifically look at the "fats to fry".
Your tempura shrimp - if you were to be making them from scratch, you would be coating raw shrimp in a batter and then 'deep frying' in HOT oil to get a crispy coating and perfectly cooked shrimp. I
f you put your frozen tempura shrimp into a cold oven - they start to heat up along with the oven.
What's happening? These are frozen foods that are "slowly" heating up. Therefore they are defrosting on the outside and that coating is getting soggy - yech!
As the oven get hotter, the rest of the food starts to defrost, adding to the moisture of the coating (which you want crispy).
By the timer showing the food should be cooked, you probably have a soggy coating on top of defrosted but uncooked centre.
double yech.
Hope this helps and is not more confusing...
And enjoy those shrimp - I love them!