Melt 3 tablespoons of the butter, pour into a mixing bowl, and whisk in the sherry, lemon juice, cayenne, black pepper, and salt. Add the egg, break it up with the whisk, and whisk to combine.
In a large mixing bowl, toss the crab with your hands (feel for any missed shell remnants and remove) with the grated egg, scallions, jalapeños, and ½ cup bread crumbs. Add the butter mixture to the crab, tossing with your hands to evenly and gently combine. The mixture will be halfway between sticky and crumbly, but easy enough to compress into a cake. (Microwave or fry a small sample to check for spiciness. If planning to make crab cakes, form the cakes and refrigerate the mixture for about 30 minutes, or longer if wrapped in plastic wrap.).
Using a 1/3 cup measure as a mold, pack the crab mixture into 10 portions, then either press the patties into cleaned crab shells or turn out onto a greased baking sheet if you intend to make crab cakes. Arrange the filled crab shells, if using, on a baking sheet. Top each portion with a sprinkling of the remaining 1/4 cup bread crumbs. Cut the remaining 2 tablespoons butter into 10 thin pats and set on top of each portion of crab.
Bake in the oven on the middle rack for about 20 minutes, until the crab is slightly browned and drying on top. Remove, garnish each with a pinch of cayenne and some parsley, if using, and serve immediately with lemon wedges. (If making cakes, flip each cake once before garnishing and serving, as the bottom side will have browned more alluringly.).