Preheat oven to 425 degrees F. Line a baking sheet with parchment paper and place a wire rack on top. Spray wire rack with cooking spray.
Prepare shrimp. Combine honey, mayonnaise, sriracha, paprika, garlic powder, onion powder, salt, and black pepper in a medium bowl. Pour sauce and egg over shrimp, tossing to coat.
Combine crushed cornflakes, panko, and cayenne in a shallow bowl. Coat shrimp in cornflake crust, making sure to evenly cover both sides. Place shrimp on a baking sheet and chill in the refridgerator for 10 minutes. Remove shrimp and coat again in the cornflake crust. Lay crusted shrimp on prepared baking sheet and spray generously with cooking spray.
Bake shrimp for 12 minutes until the shrimp is firm and golden brown. Remove from the oven and let sit for 2 minutes.
While the shrimp is cooking, make the mustard cheddar sauce. Melt butter in a medium saucepot over medium heat. Add flour, whisking until well combined. Add milk and simmer for 2-3 minutes or until slightly thickened, whisking frequently. Add mustard and cheese, stirring until the cheese melts. Season with salt and serve with shrimp.
Notes
You can marinate the shrimp for up to 4 hours if desired.If breading the shrimp ahead of time, bread it once and chill in the refridgerator. When ready to cook, bread the shrimp one more time.