To make the sweet and sour chili sauce, in a pot over medium heat, combine the water, rice vinegar, ketchup, sugar, sambal oelek, and garlic. Whisk well and bring to a simmer. In a small bowl, combine the cornstarch and water to make a slurry. Stir the slurry into the sauce and cook until thickened. Set aside.
To prepare the shrimp, pat the shrimp dry thoroughly with paper towels. Make shallow cuts along the inside curve of each shrimp to help straighten them out, being careful not to cut all the way through. Place the shrimp on a plate and season with the salt and pepper.
To assemble the firecracker shrimp rolls, crack the egg into a bowl and whisk well. Lay a wonton wrapper like a diamond with one corner pointing toward you. Fold the left corner toward the center, then place a shrimp across the center with the tail extending out the left side. Fold the bottom corner upward, then fold in the right corner. Roll tightly upward until only the top corner remains. Brush the top corner with egg, then finish rolling to seal. Repeat with the remaining shrimp and wrappers.
To fry the firecracker shrimp rolls, in a large pot over high heat, heat the cooking oil to 325°F (163°C). Carefully add the shrimp rolls in batches and fry for about 3 minutes, turning frequently until golden brown and crispy. Transfer to a paper towel-lined plate and repeat with the remaining rolls.