If using frozen lobster tails, allow to thaw completely before beginning. Split tails in half lengthwise; this is easier if you start at the fan end. Devein the tails.
In a saucepan with a steamer insert and a tight-fitting lid, bring water and salt to a boil. Place lobster tails into steamer insert shell-side down; cover tightly and steam 5-7 minutes. Remove lobster and reserve steaming liquid.
When cool enough to handle, remove meat from shell with a fork, preferably in one piece. Chill meat until needed.
Heat olive oil in a large skillet until shimmering. Add lobster shells and saute 5 minutes until flavors are released. Without removing the shells, deglaze the pan with white wine, chicken stock and the reserved steaming water. Simmer until reduced to about 6 cups, about 45 minutes. Strain.
Meanwhile, melt 1/4 cup butter in a large saucepan. Add fennel and shallot. Saute 5 minutes until soft and translucent. Add strained lobster stock, tomato, brandy, rice, tomato paste, paprika, cayenne pepper, bay leaf and thyme. Simmer 45 minutes.
Remove bay leaf and thyme. Puree with immersion blender or bar blender, using appropriate safety techniques for blending hot liquids.
Off heat, stir in heavy cream and lemon juice. Keep warm.
Melt 1 T butter in a heavy skillet over medium-high heat. Saute reserved lobster tails until warmed through. Slice tail meat and use to garnish large bowls of soup. Serve hot.