Bring a medium pot of water to a boil with the crab boil bag, the halved lemon, and 1 teaspoon salt. Let boil for 5 minutes. Add the shrimp and cook at a low boil until pink, 2 minutes. Remove from the heat and let sit in the water for 3 minutes. Drain and rinse under cold running water. Drain.
When the shrimp are cool enough to handle, peel and discard the shells and heads. Using a paring knife, make a shallow slit down the center of the back of each shrimp and remove the black-gray vein. Refrigerate the shrimp until well chilled, 2 hours.
In a medium bowl, mix together the mayonnaise, 1 tablespoon of the lemon juice, the mustard, shallots, parsley, garlic, cayenne, and a pinch of salt. Fold in the shrimp and celery and mix to coat. Adjust the seasoning, to taste. Cover and refrigerate until ready to serve. (The salad can be refrigerated for up to 1 day.)
Cut each avocado in half lengthwise and remove the seed and peel. Rub each on all sides lightly with the remaining 1 tablespoon lemon juice to prevent discoloration. Place each avocado cut side down and with a knife, cut 5 or 6 thin lengthwise slices, leaving about 1 inch at the stem end uncut. Gently press down on the avocado to separate the slices and form a fan.
Peel the cucumber and cut in half lengthwise. Run a teaspoon down the cut sides of the cucumber to scrape away the seeds. Cut each half in half horizontally, and then cut each into spears.
In a large bowl, toss the lettuces with enough dressing to lightly coat, 3 to 4 tablespoons. Adjust the seasoning, to taste, with salt and freshly ground black pepper.
Divide the lettuces among 6 large salad plates and place a fan-tailed avocado in the center of each plate, hollow side up. Arrange a portion of the shrimp salad in each avocado and decoratively arrange the cucumber spears around the plate. Drizzle, if desired, with the remaining vinaigrette and garnish with chopped chives.
Serve immediately.
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