In a blender, puree the avocado with the garlic, orange juice and lime juice. Season with cayenne and salt. With the machine on, gradually blend in 2 tablespoons of the olive oil.
Light a grill or heat a grill pan. In a medium bowl, mix the remaining 2 tablespoons of olive oil with the orange zest, allspice, molasses and lime zest. Season with cayenne and salt. Add the shrimp and toss to coat.
Add the shrimp to the grill and cook over moderately high heat until just cooked through, about 3 minutes per side. Transfer the shrimp to a platter and serve the avocado sauce on the side.
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