Add onion, carrot and garlic; sauté until softened.
Add flour; cook 5 minutes, stirring often. Add chicken broth, milk, Worcestershire sauce, salt, mustard and bay leaf.
Reduce heat to low; cook until soup has thickened, whisking often. Remove and discard bay leaf.
Slowly whisk cheeses into soup until blended and smooth.
Cut Smoked Sausage lengthwise into quarters, then slice into 1/2-inch pieces. Sauté sausage in small skillet over medium-high heat until heated through. Blot excess grease with paper towels; add sausage to soup. Serve soup hot.