Melt 1 tablespoon of the butter in a saucepan and add the shallots. Cook briefly, stirring, and add the mushrooms. Cook until wilted and add the salt, pepper, and wine. Add the scallops and bring to the boil. Cook until all the scallops are heated through, stirring gently as necessary. Take care not to let the scallops overcook or they will toughen. Using a slotted spoon, remove and set aside the scallops and mushrooms. Reserve the liquid. There should be about 3/4 cup of liquid. Melt 2 tablespoons of butter in a saucepan and add the flour, stirring rapidly with a wire whisk. When blended add the reserved liquid, stirring until thickened and smooth. Add the milk and 1 cup of the cream. Cook for about 5 minutes. Add salt and pepper to taste and a pinch of cayenne. Whip the remaining 2 tablespoons of heavy cream. Fold it into the sauce. Use 6 individual scallop shells or ramekins. Spoon equal portions of the scallops and mushrooms into each shell. Spoon the sauce over the scallop mixture. Preheat the broiler to high. Place the filled shells under the broiler about 6 inches from the source of heat and bake until a nice brown glaze forms on top. As the scallops broil, turn shells occasionally for even browning, about 5 minutes. Serve immediately.