In a medium mixing bowl, toss the shrimp, olive oil and Cavendish seasoning together.
Preheat a grill pan over medium heat until the rim of the pan is hot to the touch. Brush the surface of the pan lightly with 2 Tbsp. olive oil.
Place the shrimp in the pan and grill until they are just opaque throughout, 2 - 3 minutes per side. Do not overcook the shrimp.
Remove the shrimp to a cutting board and give them a rough chopping. Place the chopped shrimp in a bowl and refrigerate to cool completely.
Preheat the oven to 350°F/180°C.
In a large mixing bowl, combine the tomatoes, red onion, garlic, chili peppers and 4 Tbsp. olive oil. Season with sea salt and black pepper. Place the vegetables on a baking sheet and roast for 30 minutes.
Combine the cooked vegetables with the cucumber, bell pepper, celery, tomato paste, 1/4 c. olive oil, vinegar and cayenne pepper. Cover and refrigerate until well chilled, preferably overnight. Toss the vegetables a few times as they cool to distribute marinade.
Use a blender to puree the chilled vegetable mixture in batches. (Process until not quite smooth.)
Add one cup of tomato juice to the puree and stir well to incorporate. If the soup is too thick, add more tomato juice. Add 3 tsp. salt and freshly ground pepper to taste.
Stir the diced vegetables and reserved shrimp into the gazpacho. Ladle into individual serving bowls and garnish avocado chunks and a wedge of lime.