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Adjust oven rack to upper-middle position and heat oven to 400°F, and line a rimmed baking sheet with parchment paper.
Process mushrooms in a food processor until minced, scraping down sides of bowl as needed.
Pat filets dry with paper towels and sprinkle with salt and pepper.
Heat oil over medium-high heat, in a non-stick skillet. Sear filets 2 minutes per side or until mahogany brown. Transfer the beef to a paper towel-lined plate.
Reduce heat to medium and add the minced mushrooms, shallot, garlic, thyme, 1 teaspoon salt, and ¼ teaspoon pepper. Cook, stirring often, until browned and most of the liquid has evaporated, about 6-8 minutes.
Stir in the Madeira and cook about 2 minutes or until all liquid has evaporated. Transfer the mixture to a plate and allow to cool completely.
Lightly flour a clean work surface and roll the puff pastry into an 11-inch square. Cut the pastry into 4 equal squares and transfer 2 of the squares (2 inches apart) on the prepared baking sheet.
Spread ¼ cup mushroom mixture in the center of each square, to about the same diameter of the filets. Be sure to leave a 1-inch border of the puff pastry showing.
Set a filet on top of the mushroom mixture in the middle of the two pastry squares.
Spread ½ teaspoon mustard over the tops of the filets.
Set the 2 remaining pastry squares over the filets and stretch the top pastry squares to meet the bottom pastry squares. Gently press the pastry around the filets to form a tight pastry pocket/shape.
Pinch the top and bottom together.
Trim excess pastry around the filets, leaving 1/2 –inch border around all around.
Crimp the dough around the edge being sure to securely seal the filet packets.
Place the pastry packets in the fridge, uncovered for 30-60 minutes or until cold. Do NOT leave the packets longer than 1 hour or the pastry will get soggy.
When the packets are cold, brush the tops and sides with the beaten egg, and sprinkle the tops with flake sea salt.
Bake 18-25 minutes or until meat registers 110°F-120°F (depending on how you like your steaks).
Transfer Beef Wellington to a wire rack to rest.
**For steaks medium-rare, cook the meat to 110°F and let rest 10 minutes. For steaks cooked to medium, cook the meat to 110°F and let rest 20 minutes. For steaks cooked medium-well, cook the meat to 120° and let rest 10 minutes. As stated in the Notes sections, the puff pastry packets act as an oven and the meat continues to cook while resting.
Once the Beef Wellington has rested as desired, serve and…