Prepare sauce. In a medium saucepan, add first three sauce ingredients and reduce liquid to 1/2 cup over medium-high heat. Remove shallots. Add grapefruit segments and cook for 5 minutes. Allow mixture to cool, then transfer to a food processor or blender and process until smooth. Return to saucepan and heat sauce to warm. Just before serving, whisk in cold butter, a little at a time, until melted.