Snap off tough ends of asparagus. Remove scales from stalks with a knife or vegetable peeler, if desired. Cut stalks in half; arrange in a vegetable steamer over boiling water. Cover and steam 5 minutes. Place asparagus in ice water; set aside.
Saute shallots in 2 tablespoons butter in a heavy saucepan over medium heat until tender. Add flour, stirring until smooth. Cook, stirring constantly, 1 minute. Gradually add half-and-half; cook over medium heat, stirring constantly, until mixture is thickened. Stir in lemon juice and next 5 ingredients.
Place 1 sheet of phyllo on a damp towel (keep remaining phyllo covered). Brush with 2 teaspoons melted butter. Layer second sheet of phyllo on first sheet; brush with 2 teaspoons butter. Cut stack in half lengthwise, making 2 rectangles. Drain asparagus. Place one-eighth of asparagus at short end of each rectangle; spoon one-eighth of sauce mixture over asparagus on each rectangle. Fold ends of rectangles over asparagus; roll up jellyroll fashion. Repeat with remaining phyllo, butter, asparagus, and sauce mixture. Brush phyllo packets with remaining melted butter; place on a greased baking sheet. Bake at 350° for 30 minutes.