Preheat oven to 425.
Warm the oil in a large skillet over medium heat. Add the onions and saute until light golden brown approx. 7 minutes. Add the parsley, garlic and sugar and stir to mix. Add the tomatoes and cook until they are softened and their liquid is absorbed, about 20 minutes. Add the wine to the skillet and cook until the liquid is absorbed. Add the shrimp and cook, stirring constantly for 30 seconds. Remove from heat.
Pour the shrimp and sauce into a 2 litre casserole. Top with Feta cheese. Bake until the cheese melts, about 5 minutes.