1. Preheat oven to 400°F.
2. Toss the shrimp with the olive oil and spread in a single layer on a rimmed baking sheet. Sprinkle with salt and pepper, squeeze lemon evenly over the shrimp, and bake until opaque, 5 to 7 minutes. Remove from the oven and set aside to cool.
3. While the shrimp are cooking, combine the diced celery with the green onions, shallot, dill, mayonnaise, mustard, and vinegar in a medium bowl and mix well.
4. Remove the tails from the cooked shrimp and add to the dill mixture. Gently fold together until evenly mixed.
5. Combine the sour cream and dip mix in a small bowl. Arrange the remaining celery sticks, carrot sticks, cucumbers, bell peppers, and grape tomatoes on a platter with the dip in the middle.
6. Cut each avocado in half, remove the pit, and lightly season with salt. Plate each avocado and fill with ¼ of the shrimp salad (about ½ cup). Serve with the vegetable and dip plate for a complete meal.