Line a baking sheet with parchment paper. Place the cheese, mayonnaise, cayenne pepper and lemon juice in a bowl and mix until well combined. Divide and spread the mixture on the baguette slices and set on the baking sheet. Divide and top the cheese mixture with the shrimp. (Can be made to this point several hours in advance; refrigerate until ready to bake.)
Bake the melts in a preheated 425 degrees F oven for 10 minutes, or until lightly toasted on the bottom. Arrange on a large platter, sprinkle with parsley, and serve.
Note: The baguette used for this recipe was 2½" wide.