Melt butter in a saucepan over medium heat. Stir in garlic, chopped parsley, tomatoes, and wine. Bring to a simmer; reduce heat to medium-low and cook for 1 hour, stirring occasionally, until the sauce has slightly thickened.

Preheat the oven to 250 degrees F (120 degrees C).

Stir shrimp into tomato sauce and cook for 2 minutes; remove from the heat. Pour shrimp mixture into a shallow baking dish; sprinkle with crumbled feta cheese. Bake in the preheated oven until feta has softened and shrimp are no longer translucent, 45 minutes to 1 hour. Squeeze lemon halves over shrimp and garnish with parsley sprigs to serve.