Wash and peel shrimp, leaving tails on. Butterfly the shrimp by slicing up the back of the shrimp with a sharp knife so shrimp is cut 3/4 the way through, split open so shrimp lies flat. In a small mixing bowl, mix pesto sauce and water. Place cashews in an additional small bowl. Spray 9x13 pan with cooking spray. Dip shrimp in pesto sauce, then in cashews, making sure shrimp is covered in cashews.
Place shrimp flat in the baking pan. Top with a slice of mushroom. Bake at 425°F for 5 minutes.
While shrimp is baking, beat cream cheese and cocktail sauce in a small bowl with and electric mixer, on medium, until smooth. Top each shrimp with 1/4 tsp. cream cheese mix. Garnish with a sprig of parsley, if desired. Serve immediately.