Prepare the dipping sauces.
Cut any long stems off of the collard greens. Bring a large pot of salted water to a boil. While you're waiting on it to boil, prepare a large bowl with cold water and plenty of ice. Add the greens to the boiling water and leave them in the water for three minutes. Immediately plunge them into the ice water and leave them there for three minutes. Lay paper towels or dish towels out and place each leaf flat on the towels. Put another towel on top and press carefully to dry the leaves.
Lay a single collard green leaf on your workspace, and place a few sticks of carrots, cucumber, red pepper, and avocado (if using) in the middle of the leaf. Sprinkle on the herbs, then arrange the shrimp on top. Be careful to not be too greedy with the amounts because you want to be able to roll the leaf without it bursting!
Starting at the root end of the leaf, fold it up over the filling. Then fold the side that's closest to you over, bring in the opposite side and keep rolling tightly, tucking in the filling as you go, if necessary.
Cut in half, arrange on a serving plate, and serve with the dipping sauces.