If using an oven there is no need to preheat; adjust the top rack to the highest position near the broiler, leaving enough room for a baking sheet and the shrimp. If using a grill or grill pan, preheat the grill to medium-high heat. If an outdoor or open grill is being used, line the grill grates with aluminum foil and preheat to medium-high.
Make the crust: Heat a saute pan over medium heat with 1 tablespoon of the olive oil. Add the sausage and cook, stirring and breaking the meat into small pieces, about 3 minutes. Add 1 tablespoon of the shallots and the garlic and cook until the sausage is browned and excess oil has rendered, 3 to 4 minutes more. Remove from the heat.
In a medium bowl, combine the breadcrumbs, Italian seasoning and lemon zest. Add the cooked sausage mixture (with drippings) to the breadcrumb mixture. Roughly combine to gauge moisture, then add up to 3/4 cup of the olive oil. Combine again, then add up to 1/2 cup of the white wine and combine well. If the mixture is still dry, a bit more of either can be added in small increments. The mixture should appear glossy and moist to the touch, but without excess liquid sitting at the bottom of the bowl. Season with salt and pepper to taste and set aside.
If using an oven, turn the broiler to high. Place the shrimp shell-sides down on a baking sheet and drizzle with the remaining 1 tablespoon of olive oil. Season lightly with salt and pepper. Place the shrimp under the broiler for about 2 minutes, just to begin the cooking process. Remove and check to see that that shrimp have begun to turn opaque. Scoop spoonfuls of the crust mixture onto the shrimp, pressing down with the back of a spoon or spatula to compress the crust topping (some will fall around the shrimp, which is fine).
If you are using a grill, drizzle 1 tablespoon of olive oil onto the shrimp in a separate dish and lightly season with salt and pepper. Using tongs or carefully using your hands, place the shrimp shell-side down on a preheated grill or grill pan or onto the aluminum foil on an open grill. After 3 to 5 minutes the shrimp should begin to curl at the tails, the shell should darken in color and the meat should begin to turn opaque. Proceed to scoop spoonfuls of the crust mixture onto the shrimp, pressing down with the back of a spoon or spatula to compress the crust topping (some will fall around the shrimp which is fine).
For either method, after applying the crust, cook until the crust is golden brown and the shrimp are just cooked through, 2 to 3 minutes. The shrimp will cook quickly; make sure not to overcook. Remove from the heat and transfer to a plate or serving dish, covering with foil if the sauce is not yet ready.
To make the sauce, heat a medium saute pan or saucepan over medium-high heat. Add the lemon juice, Worcestershire sauce and add 1/2 cup of white wine. Cook until reduced, 4 to 5 minutes, then add the parsley and the remaining tablespoon of shallots and continue to cook another minute or two. Remove from the heat and add the butter, one tablespoon at a time, stirring continuously. Once the butter is incorporated, add the chives or chervil and let steep about a minute before spooning the mixture over the crusted rock shrimp. Serve and enjoy.