In a small bowl, whisk together mayonnaise, sweetened condensed milk, honey, and lemon juice until smooth. Taste test the sauce and adjust to your liking. For a sweeter sauce, add more honey. For a milder sauce, add more mayonnaise. Once sauce is finished, set aside.
When ready to fry, add 1 inch of vegetable oil to a large skillet and heat to 350 degrees F (using a candy thermometer helps!)
While oil heats, prepare mix (see back of box)
When ready to fry, work shrimp in mangeable batches (enough so that they can comfortably cover the oil in the pan in a single layer). Coat shrimp in flour, then egg mixture, then press into tempura. Add shrimp to hot oil and cook until coating is golden brown on both sides, about 2-4 minutes (turn if needed). Set cooked shrimp on the paper towel lined plate. Repeat this step until all shrimp has been fried.