In a bowl, combine the shrimp with 1 tablespoon olive oil, ¼ teaspoon salt and 1/8 teaspoon black pepper. Toss to coat, cover and refrigerate until ready to cook. This step can be done up to 4 hours in advance.
Bring a 3-quart pot of water to a boil. Season the water with 1 tablespoon of salt and add the orzo. Cook until al-dente, around 9 minutes, drain the pasta then return it back to the pot. Add 1 tablespoon of olive oil and stir to coat to prevent the orzo from sticking to one another. Cover with a lid and set aside.
While the orzo cooks, preheat a separate frying pan over medium heat. Add 2 tablespoons of olive oil and heat until shimmering. Add the onion and bell pepper, season with a pinch of salt and cook, stirring regularly, until the onion is soft and translucent, around 5 minutes. Add the garlic, oregano and red pepper flakes and cook, stirring, until the garlic is fragrant, around 1 minute. Add the white wine and cook, stirring, until the liquid has reduced in volume by at least ¼, around 3 minutes. Add the tomatoes and cook, stirring regularly, until the liquid volume has reduced in volume by ¼, around 4 minutes. Taste the sauce for seasoning and adjust with salt and pepper as desired. If the sauce has dried out, lengthen it with a splash of white wine or water.
Arrange the shrimp in a single layer over the tomato sauce and simmer for 3 minutes. Remove the pan from the heat, cover it with a lid and cook until the shrimp are pink on the outside and opaque in the center, around 3 more minutes.
Garnish the pan with the crumbled feta and fresh parsley and serve with the orzo.