Cut one lemon into wedges. Prepare an ice bath for the shrimp.
Bring 2 quarts water, lemon wedges, and kosher salt to boil in a large pot.
Add shrimp, cover, remove from heat, and let stand for 3 minutes until just cooked through.
Transfer shrimp to ice bath with a slotted spoon. Once cool, drain and pat dry.
Whisk together mayonnaise, Dijon, capers, dill, shallot, and lemon juice. Season with pepper.
Combine shrimp and celery in a large bowl, add dressing, and gently toss to coat.
If making avocado shrimp salad, fold in diced avocado just before serving.
Serve on butter lettuce leaves if desired.
