In a small mixing bowl, combine crab meat, lemon zest, shallot, 1/4 teaspoon salt and white pepper. Refrigerate.

Make hollandaise sauce. In a blender combine egg yolk, lemon juice, 1/2 teaspoon salt and cayenne. Pulse blender for 5 seconds to combine all ingredients.

Heat butter in a saucepan over medium-high heat until melted butter reaches 185°F. With the blender on low speed, drizzle the melted butter into the blender through the hole on the top of the lid. Hollandaise should be thick and pale yellow. Keep warm while cooking steaks.

Remove crab mixture from refrigerator and preheat grill. Season filet mignon steaks with additional salt and white pepper and grill to desired doneness (125° - 130°F for medium rare). Allow to rest 5-10 minutes before topping with crab meat and warm hollandaise.