In a small saucepan, brown the shallots in the oil. Add the mango, wine, and saffron. Bring to a boil and simmer for about 10 minutes or until it thickens. If necessary, crush the mango with the back of a fork or potato masher. Season with salt and pepper. Keep warm.
Filling
Pat the shrimp dry with paper towels. In a large non-stick skillet over high heat, brown the shrimp with the pepper in the oil. Season with salt and pepper. Add the onions and garlic and cook for 1 minute. Add the wine and reduce for about 1 minute. Add the lime juice and half the herbs. Adjust the seasoning.
Slice off the puff tops. Fill with the shrimp mixture and place in a serving dish. Sprinkle with the remaining herbs and serve with a bowl of mango compote. Serve as a hors d’oeuvre and let the guests dip in the compote themselves.