Combine the lemon zest, juice, wine and shallot in a small saucepan over high heat and cook until reduced by half. Remove from the heat and let cool. Whisk together the cream, butter and wine mixture in a small bowl and season with salt and pepper. Cover and refrigerate for 30 minutes. The lemon butter can be made 1 day in advance and refrigerated. Bring to room temperature before serving.
Heat the grill to high.
Brush the fish on both sides with the oil and season with salt and pepper. Grill the fish for 3 to 4 minutes per side or until lightly golden brown and slightly charred. Toss the orzo with a few tablespoons of the lemon butter and 2 tablespoons of the parsley and season with salt and pepper. Transfer the orzo to a platter. Remove from the grill and immediately place the fillets on the orzo and top each fillet with some of the lemon butter and capers. Garnish with the remaining parsley.