Combine shallots, garlic, ginger, lemongrass, and lime leaves in a food processor or blender, and grind into a very fine paste.
Take out the coconut fat from the milk and over medium-high heat in a large skillet and transfer in the mixture from the food processor. Spread out into an even layer. Sprinkle over the coriander, cumin, turmeric, white pepper, and salt. Cook, stirring, until the mixture starts to caramelize onto the bottom of the pan and has become very fragrant, about 5 minutes.
Add sambal, brown sugar, soy sauce, rest of the coconut milk, chicken broth, and bay leaves, and use a spatula to scrape the bottom of the pan to deglaze. Bring to a boil over medium-high heat.
With skin side up, make 3 cuts into the center of each thigh, perpendicular to the bone, about 1/2-inch apart. Place chicken into the sauce, skin side down, and reduce the heat to between low and medium-low.
Baste the top of chicken with sauce. Cover simmer for 20 minutes. Remove thighs
Uncover and simmer sauce has reduced and become very thick.
Meanwhile, prepare a charcoal grill for medium-high heat. Grill chicken over charcoal, turning and repositioning often, or until about half of the surface is charred, about 2 minutes per side. Less direct heat can be used for less charring, but the smoky bittersweet grill marks are a key part of the dish.
Serve grilled chicken thighs on top of the sauce, with more sambal if desired.