I'm watching an old BBQ U episode and Steven has just filled a skewer with shrimp that're all oriented the same way, and he specifically points this out.
On the other hand I go for balance when I skewer things that aren't symmetrical. So that means that when it comes to shrimp I alternate the heads and tails from side to side, because they're going to be over direct heat anyway and in theory will all be cooked evenly.
So which type of skewerer(?) are you? Of course, this isn't a right-or-wrong question...whatever works for you is all that matters!