Prepare all the ingredients before starting. Begin cooking the pasta around the same time as the shrimp to coordinate the timing.
In a mixing bowl, combine the shrimp with Cajun seasoning and olive oil, tossing to coat evenly.
Fill a stock pot with water, add the salt, and bring to a boil over high heat. Meanwhile, heat a large skillet over medium-high heat.
Once the water is boiling, add the penne pasta and cook until al dente. Before draining, reserve at least 1/2 cup of the pasta cooking water. Drain the pasta and set aside.
While the pasta cooks, add the butter to the preheated skillet and allow it to melt. Place the seasoned shrimp in a single layer in the skillet and cook until they turn golden brown on each side, turning only once. You may need to cook the shrimp in batches to avoid overcrowding. Once cooked, transfer the shrimp to a clean plate and reduce the skillet heat to medium.
Pour the heavy cream into the skillet, scraping the bottom with a flat wooden spoon to release any seasoning stuck to the pan. Allow the cream to bubble gently at the edges, then lower the heat to a simmer. Stir in the grated Parmesan cheese until it melts into the sauce.
Return the cooked pasta and shrimp to the skillet, stirring to coat them in the sauce. If the sauce is too thick, add reserved pasta water, a tablespoon at a time, until the desired consistency is reached. Taste and add extra salt, if needed.