To toast the walnuts, in a pan over medium heat, add the cooking oil and the walnuts. Toast until fragrant. Remove.
To candy the walnuts, in the same pan over low heat, combine the butter, water, and brown sugar. Stir until dissolved. Add the walnuts and cook until coated. Transfer to parchment paper and cool completely.
To make the sauce, in a bowl, combine the mayonnaise, sweetened condensed milk, honey, rice vinegar, and salt. Mix until smooth.
To coat the shrimp, in a bowl, season the shrimp with salt and white pepper. Add the egg and mix. Toss with the cornstarch.
To fry, in a pot over high heat, heat the cooking oil to 325°F (165°C). Fry the shrimp until golden and cooked through (145°F / 63°C internal temperature). Remove and drain.
To assemble, toss the hot shrimp in the sauce. Transfer to a plate lined with orange slices and top with candied walnuts.