Preheat oven to 375°F with rack in middle.
Cook onion and garlic in oil with 1/4 teaspoon salt in a 4-quart heavy saucepan over medium heat until softened, about 5 minutes. Stir in spices and cook, stirring, 30 seconds. Add chopped tomatoes with juice and sugar and simmer, uncovered, stirring occasionally, until slightly thickened, about 20 minutes. Remove from heat.
Season shrimp with 1/8 teaspoon salt, then stir into tomato sauce. Transfer to a 2-quart shallow baking dish and top with feta. Bake until just cooked through, 18 to 20 minutes. Serve sprinkled with dill.