Melt butter in a large heavy saucepan over low heat; add flour, stirring until smooth. Cook 1 minute, stirring constantly. Gradually add whipping cream; cook over medium heat, stirring constantly, until thickened and bubbly. Remove from heat. Fold in lobster, green pepper, pimiento, salt, and pepper.
Spoon 1/4 cup mixture into each basket. Garnish with parsley, and serve.