Wrap beets individually in microwave-safe parchment paper. Microwave at HIGH 7 minutes or until tender, turning once after 3 minutes. When cool enough to handle, peel and slice into 1/2-inch-thick wedges.
Combine rind, juice, black pepper, salt, and shallot in a small bowl, stirring with a whisk. Let stand 10 minutes. Gradually add oil, stirring constantly with a whisk. Place arugula in a large bowl. Add 2 tablespoons juice mixture to arugula; toss to coat. Add beets to remaining juice mixture; toss to coat. Place arugula mixture on a platter; top with beet mixture, avocado, and feta.