Combine the ingredients for the compound butter in a small bowl. Mix well to combine. Place on a sheet of plastic wrap. Wrap the plastic around the butter, twist the ends of the plastic and roll into a log shape. Place in the refrigerator to firm.
Trim the excess fat, silver skin and chain from the outside of the tenderloin. Pour a small amount of Smoke on Wheels BBQ Marinade over the tenderloin and rub all over the meat to form a thin layer to act as a binder for the rub. Season with R Butts R Smokin’ R Beef Rub. Let the rub set up for a few minutes. Transfer to the second shelf of the smoker.
While the beef smokes, place the shrimp in a bowl and cover with the Smoke on Wheels BBQ Marinade. Let soak about 30 minutes. Remove the shrimp from the marinade and thread onto skewers. Season with Plowboys BBQ Fin and Feather Rub.
When the internal temperature of the beef tenderloin reaches 100ºF, remove the tenderloin and the second shelf. Cover the tenderloin loosely with foil. Increase the grill temperature to 400ºF. When the grill reaches 400ºF, place the tenderloin on the GrillGrates, directly over the firebox. As the tenderloin takes on nice grill marks, rotate the tenderloin to allow all sides to brown. Do all of this with the lid open, so as not to overcook the meat before browning the surface. When the internal temperature reaches 125ºF, remove the tenderloin from the grill to rest, and place the shrimp skewers on the GrillGrates.
Cook the shrimp on both sides until they have a little char and are opaque and cooked through (140ºF internal).
Slice steaks out of the tenderloin. Top with a couple of grilled shrimp and a pat of the compound butter.