1.Preheat oven to 425°F Set aside 20 cauliflower florets in bowl. Toss remaining florets and onion with 1 Tbs oil; season with 1 tsp salt and 1/4 tsp pepper. Spread on large baking sheet. Cut tops off garlic heads, place on foil square, and drizzle with 1/2 tsp oil. Close foil around garlic. Place foil-wrapped garlic and cauliflower-loaded baking sheet in oven, and roast 30-45 minutes, stirring cauliflower occassionally, until cauliflower and onion are browned and garlic feels soft.
2.While garlic is still warm, squeeze garlic pulp from each clove into bowl of food processor. Add cauliflower mixture and 1 tsp Worcestershire sauce, and puree until smooth. Season with salt and garlic, if desired. Set aside.
3.Combine wine, cornstarch, remaining 1 tsp Worcestershire sauce, thyme, remaining 1/4 tsp salt, remaining 1/8 tsp pepper, and 1/2 cup water in small bowl until cornstarch has dissolved. Set aside.
4.Heat remaining 2 Tbs oil in wok or large skillet over high heat. Add Brussels sprouts, carrots, reserved 20 cauliflower florest, mushrooms, and shallots, and sitr-fry 5-7 minutes, or until vegetables begin to brown. Add conrstarch mixture, and stir-fry 1-2 minutes more, or until most of liquid has evaporated and vegetables are coated with sauce. Remove from heat, and cool.
5.Meanwhile, roll each sheet of puff pastry into 12-inch square on floured work surface. Cut each sheet into 4 squares, and place on 2 parchment-lined baking sheets. Chill 15 minutes.
6.Preheat oven to 425°F Spread 1/4 cup cauliflower puree in circle in center of each pastry square. Stir cooled vegetable mixture to coat with sauce, then scoop 1/2 cup vegetables in center of square, making sure each portion contains a good mix of vegetables. fold corners of pastry squares over vegetable filling and into center, pinching corners to seal. Brucsh each square with egg (if using), and chill 15 minutes. Bake 12-15 minutes, or until crisp and golden brown, checking bottoms of squares with spatula to make sure they are browned. Let stand 5 minutes before serving.