Light a grill. (Alternatively, warm a 12-inch cast-iron grill pan over medium-high heat.) Using a heavy cleaver or chef’s knife, split the lobsters in half lengthwise then scoop out and reserve the tomalley, or egg sac, if present. Drizzle the lobster flesh with the olive oil and grill, flesh-side down, until slightly charred, about 5 minutes. Flip the lobster halves over and continue cooking until the lobsters are tender, 3 to 5 minutes more.
Meanwhile, melt the butter in a large skillet over medium heat. Add the shallots and cook, stirring, until soft, 2 to 3 minutes. Add the wine and vanilla pod and seeds and cook, stirring, until reduced by half, about 3 to 4 minutes. Stir in the cream and simmer for 2 minutes longer. Season the sauce with salt and pepper then spoon over the lobster and top with the tomalley, if using.