For the sauce: Heat a small saucepan over medium heat. Add the olive oil and shallots and saute for about two minutes. Add the cumin and smoked paprika and continue to cook, stirring, for one minute more. Add the cream and salt, reduce the heat to low, and simmer for about 5 minutes, until slightly thickened. Whisk in the goat cheese, a little at a time, until fully incorporated and smooth. Remove from the heat and let cool for 5 minutes before stirring in the chives and parsley.
For the shrimp: In a medium bowl, toss the shrimp with the 1/4 cup hot sauce and the olive oil, lemon zest and garlic. Cover with plastic wrap and let sit at room temperature for 15 minutes.
Preheat a grill or grill pan to medium-high heat. Sprinkle the shrimp with the salt and grill for 2 to 3 minutes per side, or until opaque at the center. Remove to a clean bowl and toss with the remaining 2 tablespoons hot sauce. Serve with the goat cheese dipping sauce.