Cook lobster tails in boiling salted water to cover 3 minutes or until opaque in center; drain and cool slightly. Using kitchen shears or a sharp knife, split tails lengthwise. Remove meat, and cut into 1/2" pieces. Set meat aside, and reserve shells.
Heat oil in a large saucepan over medium-high heat. Add onion and garlic; sauté 4 minutes or until tender. Add tomato paste; cook 1 minute. Remove pan from heat; stir in Cognac. Add water and reserved lobster shells; bring to a boil. Cover, reduce heat, and simmer 30 minutes. Pour broth through a wire-mesh strainer into a large measuring cup or bowl, discarding shells.
Melt butter in a large skillet over medium heat; whisk in flour until smooth. Cook 1 minute, whisking constantly. Gradually whisk in lobster stock, whipping cream, and vanilla bean seeds; bring to a boil. Reduce heat, and simmer 15 minutes or until sauce reduces to 2 cups. Stir in salt, tarragon, and chopped lobster meat. Keep warm until ready to serve.
*Substitute 1/2 tsp. vanilla extract, if desired.
Note: Here's a tip to make the most of your vanilla bean flavor--measure the whipping cream for this sauce and gently scrape vanilla bean seeds into the whipping cream using the tip of a paring knife. Plop the vanilla bean pod into the whipping cream and let stand while preparing the lobster stock. Remove pod before pouring cream and seeds into stock.