Make the habanero butter: Combine the butter, garlic, habanero, shallot and capers in a small saucepan over medium heat; season with 1/2 teaspoon salt and 1/4 teaspoon pepper. Cook until the shallot is translucent, about 5 minutes. Deglaze the pan with the wine; add the lime zest and juice and cook until the wine has reduced and the pan is almost dry, about 4 minutes. Divide the butter between 2 small bowls; set aside.
Make the garlic butter: Combine the butter and garlic in a separate small saucepan over medium heat; cook until the garlic is soft and fragrant, 5 to 6 minutes. Add the parsley and mix well. Transfer to a small bowl and set aside.
Make the cilantro-lime slaw: Combine the mayonnaise, buttermilk, cilantro and lime zest and juice in a large bowl. Season with salt and pepper and whisk to combine. Add the cabbage and mix well to coat. Refrigerate until ready to serve.
Make the lobster rolls: Preheat a grill to medium high; oil the grates. Brush the lobster meat with half of the habanero butter. Place shell-side down on the grill. Cook 3 minutes, then flip the lobsters and cook until the tails are curled and the meat is opaque, 4 to 6 more minutes. Remove from the grill and set aside to cool slightly. Remove the meat from the shells and roughly chop; toss with the remaining habanero butter.
Brush the hot dog buns with the garlic butter. Grill until golden and crisp, about 30 seconds. Fill the rolls with avocado, tomato, the lobster and slaw.