Roast the Cauliflower: Preheat oven to 200°C/180°C fan/gas 6. Drizzle the cauliflower with oil, season with salt and pepper, and roast on a tray for 30 minutes until golden and tender. Let it cool completely.
Prepare the Mushroom Pâté: Heat oil and butter in a frying pan. Sauté onion for 5 minutes, then add garlic, mushrooms, rosemary, and thyme. Cook for 10 minutes.
Finish the Pâté: Increase heat, add sherry, and bubble for 5 minutes until almost dry. Reduce heat, mix in cream cheese and parsley, then blend until smooth. Season and chill.
Coat the Cauliflower: Spread the chilled mushroom pâté evenly over the cooled cauliflower.
Wrap in Pastry: Roll out puff pastry to 0.5cm thick. Sprinkle with grated cheddar, place cauliflower florets-side down, and wrap the pastry tightly, sealing the edges.
Chill and Egg Wash: Place on a lined baking sheet, brush with beaten egg, and chill for 30 minutes. Brush with more egg before baking.
Bake the Wellington: Bake at 200°C for 25 minutes. Add remaining cheddar on top, then bake for another 10-15 minutes until golden and bubbling.
Make the Gravy: Cook oil and flour in a pan for 2-3 minutes. Whisk in wine, add soaked mushrooms and liquid, and simmer for 10-15 minutes. Adjust consistency with water if needed, season, and serve with the Wellington.