Grilled Shrimp and Andouille Sausage with Hot Ravigote Sauce

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1 tablespoon unsalted butter

2 tablespoons finely diced yellow onion

2 teaspoons capers, rinsed and drained

1 1/4 teaspoons roasted garlic puree

1/8 teaspoon Creole seasoning

1/8 teaspoon ground black pepper

1/8 teaspoon ground white pepper

1/8 teaspoon crushed red pepper flakes

Pinch of salt

1 1/2 cups heavy cream

4 teaspoons Creole mustard

1 teaspoon prepared horseradish

1/8 teaspoon Worcestershire sauce

1/8 teaspoon hot pepper sauce

1 teaspoon unsalted butter

1 pound andouille sausage

24 large shrimp, peeled and deveined

2 teaspoons olive oil

2 teaspoons Creole seasoning

12 (10-inch) wooden skewers, soaked in water