In a large saucepan, heat the oil over medium-high heat. Add the onion and cook, stirring occasionally for 5 minutes or until tender. Stir in the flour and cook, stirring constantly for 3 minutes or until lightly browned.
Stir in the broth, tomato puree, sherry and salt and bring to a boil. Reduce the heat to low, cover, and simmer for 10 minutes. Add the lobster, cover, and simmer for 6 minutes or until lobster is opaque.
Stir in the milk, hot-pepper sauce, and paprika. Cook over medium heat for 3 minutes, or until heated through. Stir in the plum tomatoes and parsley.