Heat 2 Tablespoons of olive oil in a saute pan over medium heat. Saute the shallots until they are translucent. Add the wine and mango. Saute for 20 seconds. Add the cream and reduce the mixture by one half.
Add the vanilla bean scrapings to the pan and stir the mixture. Turn the heat to low. Add the tomato puree. Cook for 1 to 2 minutes. Place the sauce in a blender and puree for 1 minute. Watch out for the steam when pureeing hot liquids!
Pour the sauce through a strainer, return it to the saute pan and bring to a simmer. Season with salt and pepper, to taste. Keep warm on the back of the stove.
Preheat your grill to about medium to medium high heat.
Season the mahi mahi fillets with salt and pepper and brush with some olive oil. Grill the fillets for 1 to 2 minutes, rotate 90 degrees and grill an additional 3 to 4 minutes. Turn the fillets over and repeat the grilling process. Remove the fillets form the grill.