In a large skillet, brown beef in 1 tablespoon oil. Remove and keep warm.
In the same skillet, saute mushrooms and shallots in remaining oil until tender. Add garlic; cook 1 minute longer. Add sherry, stirring to loosen browned bits from pan. Stir in the cream, salt and pepper. Bring to a boil; cook until liquid is almost evaporated, about 7 minutes. Stir in beef and parsley; set aside and keep warm.
On a lightly floured surface, unfold puff pastry. Roll each sheet into a 12-in. square. Cut each into 16 squares.
Place 2 tablespoonfuls of beef mixture in the center of half of squares. Top with remaining squares; press edges with a fork to seal. Place on parchment paper-lined baking sheets. Cut slits in top; brush with egg. Bake at 400° for 14-16 minutes or until golden brown.
In a small bowl, combine the horseradish cream ingredients; serve with appetizers. Garnish with additional chives if desired. Yield: 16 appetizers (1-1/2 cups sauce).