Heat 1/3 cup oil in large saucepan over medium heat. Add onions and sauté until golden, about 12 minutes. Add tomatoes (including juices), 3 tablespoons parsley, oregano, garlic and cayenne. Bring to a boil, then reduce heat to medium-low.
Cover, and simmer until sauce thickens, about 15-20 minutes. Season with salt and pepper. Transfer to bowl and set aside. You can make this sauce a day ahead, or in the morning. If you make it ahead of time you will need to reheat it before continuing with the recipe.
Preheat oven to 400 degrees. Heat 3 tablespoons olive oil in heavy large skillet over medium-high heat. Sprinkle shrimp with salt and pepper. Add to skillet and sauté until almost opaque, about 3 minutes.
Add the ouzo and simmer until the ouzo evaporates, about 2-3 minutes. Add tomato sauce and olives, stir to incorporate it with the shrimp.
Transfer shrimp mixture to 10-12 cup baking dish. Sprinkle with feta. Bake until shrimp are cooked through, and feta becomes slightly golden, about 10 minutes.
Sprinkle with remaining parsley and serve immediately with toasted French bread.