Should I peel and devein whole shrimps?
I disagree with Daniel, you can absolutely eat the "vein" in a shrimp.  Whole un-peeled shrimp are called peel-and-eat and that's exactly what you can do.  Basically, when you are first cooking the shrimp you get the make the shells on/shells off decision and if you go with shells off, you should de-vein, otherwise you just serve as is.

As for preparing already cooked shrimp, you can heat the butter then toss the shrimp in that off the heat.  You won't get them hot, but you can knock the chill off while at the same time adding the flavors you want to the party.

I agree that already cooked shrimp is inferior to raw, but you can still make it taste amazing.

The fact that the intestine contains waste matter is a non-issue to your digestive tract, de-veining is mainly a presentation decision and not a health one.