Preheat the oven to 350°F. Grease a 13-by-9-inch baking dish with butter. Fill the sink with ice water.
Bring a large pot of salted water to a boil. Add the crabs. Once the water has returned to a boil, cook the crabs for 14 to 18 minutes. (Cook crabs that weigh around 2 pounds each, as most do, for about 14 minutes. Increase the cooking time by a few minutes if your crabs are larger.) While they cook, grate the cheddar and set aside. Using a pair of sturdy tongs, pull the crabs out of the cooking water and chill them in the ice water. Strain the crab cooking water through a colander, return it to the pot, and return to a boil.
In a large saucepan over medium-low heat, melt the butter and add the shallots. Cook for 1 minute. Whisk in the flour gradually and reduce the heat to low. Keep cooking and stirring the roux until it starts to smell nutty, about 5 minutes. Gradually add the milk while continuing to stir. Increase the heat to medium high and add the bay leaves, paprika, saffron, tomato paste, cayenne, and mustard. Simmer gently until the sauce is slightly thickened, about 10 minutes. Add the reserved cheese and cook until it has melted into the sauce. Taste for seasoning, then cover and set aside while you clean and crack the crabs (see Notes).
Cook the pasta in the strained crab cooking water until it is al dente, drain, and transfer to a bowl. Stir the pasta and crabmeat into the sauce. Put this heart-stoppingly delicious concoction into the baking dish.
In a medium bowl, mix the panko with the lemon zest, parsley, and melted butter. Top the pasta with the panko mixture and bake for about 30 minutes, or until the mac-and-cheese is bubbly and browned on the top.