For pastry: Place flour in bowl. Season with salt and pepper. Cut in butter, until a fine texture. Blend in ice water and form into a ball; chill for 1/2 hour. When rested, roll out pastry to 1/4-inch thick Mold to inside of clean, dry scallop shell. Bake 15 minutes, cool slightly, then remove pastry shell and set aside.
Melt butter in saucepan and add flour. Cook 3 minutes over medium heat to make a roux. Add milk and bring to boil, whisking until smooth. Simmer gently.
Pour a little clarified butter into another saucepan and add mushrooms and lemon juice to fry. Flame with 1/2 cup sherry, then add scallops and their juices and season with salt and pepper. Simmer. Pour juice from roe into pan with scallops, then add sauce to scallop mixture and cook for 3 minutes until scallops are done. Remove scallops and increase heat to reduce sauce for 3 minutes. Add paprika and parsley and stir. Add roe, cooked scallops and remaining sherry to sauce. Place scallops and sauce in pastry shells. Serve immediately.