In a large pot or Dutch oven, melt the butter over medium heat. Add the onion and celery and cook, stirring occasionally, until the onion is soft and translucent, about 10 minutes.
Reduce the heat to medium low, whisk in the flour and continue to cook, stirring constantly. You are essentially making a roux without browning it. Stir in the seafood seasoning, nutmeg, bay leaf and pepper, then whisk in the sherry and clam juice. Increase the heat to medium and bring to a simmer. Cook, stirring frequently, until very thick, about 10 minutes. Stir in the seafood stock and crab roe, if using, bring to a simmer and cook for 15 minutes.
Add the heavy cream and Worcestershire, return to a simmer and cook until thickened and reduced slightly, another 15 minutes. Remove the bay leaf, then puree the soup with an immersion blender until smooth (or use a regular blender; let cool slightly first, and use caution when blending hot liquids). Season with salt. Stir in the crabmeat and garnish with crab roe if desired.
When blending hot liquid, first let it cool for five minutes or so, then transfer it to a blender, filling only halfway. Put the lid on, leaving one corner open. Cover the lid with a kitchen towel to catch splatters, and pulse until smooth.