Bring a large pot of salted water to a boil. Add the lobsters and boil until just cooked through, about 12 to 15 minutes. Meanwhile, preheat the grill to medium-high. Drain the lobsters and put them in a bowl of ice water to stop the cooking. Then drain the lobsters well, remove the tail from the lobster, and carefully remove the tail meat from the shell.
Skewer each tail onto 2 skewers so that the meat lies flat. Brush the tails with oil and season with salt and pepper. Grill for 2 to 3 minutes on each side or until slightly charred.
Place the lobster skewers on a platter and drizzle with some of the sauce over top. Sprinkle with chopped cilantro and garnish with lime wedges. Top with dollops of caviar, if desired. Serve the remaining sauce in small bowls for individual dipping.
Heat 2 tablespoons oil in a medium saucepan over medium heat. Add onion and cook until soft, about 3 minutes. Add garlic, ginger, and serrano chile and cook for 1 minute. Add the curry paste and cook for 2 minutes. Add mangoes and water, stir well, and cook until the mango is soft, about 15 to 20 minutes. Transfer the mixture to a blender (see *Cook's Note below). Add the lime juice, cilantro, and honey and blend until smooth. With the motor running, slowly add the remaining 1/2 cup oil and blend until emulsified. Season with salt and pepper, to taste.
When blending hot liquids, remove liquid from the heat and allow to cool for at least 5 minutes. Transfer liquid to a blender or food processor and fill it no more than halfway. If using a blender, release 1 corner of the lid. This prevents the vacuum effect that creates heat explosions. Place a towel over the top of the machine, pulse a few times, and then process on high speed until smooth.