Yes, you can order anything served in the main dining room, including lobster, as long as you place your order within the first half hour of the seating times.
Quite often, we will decide to dine in the Lido and I will call about 8pm and order from the DR dessert menu and have coffee and dessert in the cabin or on the verandah.
DH, who isn't particularly fond of dressing up always orders two of the full lobster dinners to the cabin for himself on lobster night. He througholy enjoys his dinner in the cabin.
If you are in a suite the menu will be delivered to your cabin, if not, you can call or go to the main DR and the menu is posted so you can write down what you wish to order from room service.
We love our room service and make frequent use of it.