Place the tenderloin in a greased 15x10x1-in. baking pan; fold ends under tenderloin. Bake, uncovered, at 475° for 20-25 minutes or until browned. Cover and refrigerate for at least 2 hours or until chilled., For sauce, in a large saucepan, combine the consomme, tomato paste and bouillon granules. Bring to a boil. Reduce heat; simmer, uncovered, for 20 minutes or until reduced to 2 cups. , Combine butter and flour until smooth. Stir into sauce, a teaspoon at a time. Bring to a boil; cook and stir for 2 minutes or until thickened. Remove from the heat; stir in wine and set aside., For the filling, in a large skillet, combine the mushrooms, shallots, ham and 2 tablespoons Madeira sauce. Cook over low heat for 10 minutes, stirring occasionally. Stir in the parsley; cook 10 minutes longer or until liquid has evaporated, stirring occasionally. Set aside., Preheat oven to 425°. On a lightly floured surface, unfold both puff pastry sheets; moisten short side of one sheet with water. Slightly overlap the edge of the remaining sheet over the moistened edge; press edges together. Transfer to an ungreased baking sheet., Spread half of the filling down the center of pastry. Place the tenderloin on the filling. Spread the remaining filling over the top of meat. Bring edges of pastry over the filling and pinch together. Roll to place seam side down. Brush pastry edges with milk; fold edges under meat. If desired, lightly score puff pastry with a sharp knife to form diamond pattern and brush with beaten egg. , Bake, uncovered, until deep golden brown, 40 minutes, covering lightly with foil if needed to prevent overbrowning (meat will be medium-rare). Transfer to a serving platter. Let stand for 15 minutes before slicing. Rewarm Madeira sauce if necessary. Serve with tenderloin.