Brush oil on all sides of each tenderloin and season with salt and pepper. 

Heat a cast-iron griddle or heavy-bottomed skillet to smoking hot and sear the beef on both sides as well as the edges, about 3-4 minutes. Transfer the beef to a plate and place in the refrigerator to cool completely. 

Melt the butter in a small skillet set over medium heat and add the mushrooms and shallots. Cook stirring often until tender, about 5 minutes. Stir in the garlic.  

Add the wine and simmer until all liquid has evaporated, about 4-5 minutes, stirring occasionally. Remove from the heat and stir in the parsley and thyme. Add salt and pepper to taste. 

Transfer the mixture to a small dish and refrigerate to cool. 

In a medium saucepan set over medium heat, melt 2 tablespoons butter. Add the onions and thyme, cook stirring until the onions are soft, 2-3 minutes. Add the wine and bring to a boil and reduce by two-thirds, then add the beef stock. Continue to boil to reduce to half. Strain the sauce through a fine-mesh sieve into a small saucepan and set over medium-low heat. Add the Worcestershire sauce and whisk in the mustard. Add salt and pepper to taste and bring back to a boil. 

In a small dish add the remaining 2 tablespoons of soft butter and the flour, mash to a paste. Remove the sauce from the heat and whisk the butter/flour paste into the sauce. Return to a low heat and cook about 2 minutes longer, until the sauce is slightly thickened. Remove the sauce from the heat, cover and set aside. 

Unfold one sheet of puff pastry onto a lightly flour-dusted work surface and roll to a size of 11 x 11 inches square. With a sharp knife cut the pastry in half, place one half on a parchment lined plate and reserve in the refrigerator. Working with the one pastry, lay a slice of the prosciutto on the pastry then place one of the steaks on top. Spread half of the softened blue cheese on top of the steak and then add half of the mushrooms mix over the top.

Fold the pastry dough over the prepared tenderloin, enclosing it into a neat package. Pinch the edges to seal well and trim away any excess pastry. Transfer the wrapped tenderloin to the refrigerator and proceed with the remaining tenderloin. Chill both tenderloins in the refrigerator for a few minutes while the oven is heating.

Pre-heat the oven to 450°F

Transfer the Wellingtons to a parchment lined baking sheet. When ready to bake brush each tenderloin with the egg wash. Bake until the pastry is golden brown, about 15 minutes rotating the pan about half way through the cooking time.

Transfer the tenderloins to a plate and allow to rest for 3-5 minutes before serving. While the Wellingtons are resting reheat the Cabernet sauce and transfer to a serving pitcher.

To Serve, spoon 1/4 cup of the hot Cabernet sauce in the center of each serving plate, add a Wellington to the sauce, garnish with fresh herbs. 

 Serve the remaining sauce on the side for mashed potatoes.