How to Make It
Process mayonnaise, shallot, capers, tarragon, lemon juice, mustard, vinegar, and paprika in a small food processor or blender until smooth, about 1 minute. Transfer to a small bowl; cover and refrigerate until ready to use.
Preheat a grill to medium-high (400°F to 450°F) or heat a grill pan over medium-high. Pat scallops completely dry with paper towels; brush with olive oil, and sprinkle both sides with salt and pepper. Place scallops, 1 at a time, on oiled grates at least 1 inch apart. (If using a grill pan, you may have to work in batches to avoid overcrowding scallops.) Grill, uncovered, until scallops are cooked 1/4 inch of the way up, no longer stick to grate, and grill marks appear, about 1 1/2 minutes. Flip each scallop over in the same order in which they were placed on the grill, and cook an additional 1 1/2 minutes. Remove from grill, and let rest 1 minute. Serve with remoulade sauce. Garnish with thyme, tarragon, or chives.