Place butter and shallots in a large saute pan and cook over high heat until shallots soften. Add mushrooms and continue to cook until mushrooms begin to soften and reduce. Add marsala wine and allow liquid to reduce until almost dry. Add cream and reduce again till almost dry. Transfer mushroom mixture to food processor and pule until mixture is smooth. Taste, adjust seasoning with salt and pepper, and transfer to shallow container to refrigerate till completely chilled.
Season beef to desired tastes with salt and pepper. Place beef in a large saute pan with a good amount of cooking spray on high heat. Brown each side until slightly crusty on all sides (do no overcook). Remove beef from pan and put on baking tray and in pre-heated oven of 425 degrees and roast until internal temperture reaches 100 degrees. Remove Beef from oven and place in refrigerator to cool completely.
In saute pan the beed was seared place shallots and cook over medium heat till brown. Add red wine and scrape brown from bottom of the pan as the wine boils and reduces. After wine has reduced about 1/4 add chicken brother and reduce and simmer to taste. Add more broth or wine as needed.
Cut pastry sheets into large amounts so that it would wrap around each individual meat pieces. Spread mushroom mixture on top of beef which is placed on pastry and then wrap pastry completely around beef and mushroom. You can add any pastry decorations as needed. Brush with beaten egg.
Place beef pastries on a cooking sheet and place in pre-heated oven of 400 degrees for 20-30 minutes, or until pastry is brown. Meat thermometer should reach 110 for rare, 120 for medium-rare, 130 for medium, 140 for medium-well, and 150 for well done. Allow to sit at room temperature for 5-10 minutes before serving.
While meat is resting add cornstarch to a small amount of water. Add to sauce and simmer for 5 minutes or until desired thickness is achieved. Spoon onto beef wellingtons on serving.