Heat a grill pan or outdoor grill over medium to medium-high heat. Brush the grate of the grill with canola oil just before you grill the chicken. Season the chicken with lemon pepper and put on the grill. Grill for 4 to 5 minutes on each side.
Heat the olive oil in a medium skillet over medium heat. Add the shallot and garlic and saute for 2 minutes. Add the capers and white wine and reduce by half. Whisk in the mustard, and parsley and season with salt and pepper, to taste. Let simmer for 1 minute, then remove from heat and whisk in the sour cream.
Arrange the chicken on a platter and dollop with the creamy sauce.