FOR THE DRESSING: Sieve hardcooked egg. Mix with yogurt to form paste. Add 1 tablespoon lime juice. Add olive oil, a teaspoon at a time, stirring until absorbed, after each addition. Stir in remaining lime juice and cayenne and season to taste with salt and additional lime juice if desired.
TO SERVE: Cut avocados in half. Remove pits and enlarge cavity. Dice removed avocado and combine with salad mix of sweet red pepper, celery, onion, and scallops. Mound mixture into avocado halves.
NOTE: This dish is just as good and much simpler to eat if you simply slice the avocado, dicing some to add to the scallops and arranging the rest of the slices around or under the scallops. (Brush avocado slices lightly with lime or lemon juice to prevent discoloration.) Garnish with a thin slice of pepper and a sprig of parsley.