Heat margarine in a nonstick skillet over medium-high heat until margarine melts. Add shallots and garlic; saute until tender. Add mushrooms; saute until liquid evaporates. Arrange fillets in an 11- x 7- x 1 1/2-inch baking dish coated with cooking spray. Sprinkle with 1/4 teaspoon salt and 1/4 teaspoon pepper. Pour champagne and lemon juice over fillets. Cover and bake at 400° for 10 minutes. Drain, reserving liquid. Strain liquid through cheesecloth. Cook strained liquid in a saucepan over high heat until liquid is reduced to 1 cup.
Combine flour and 1/2 cup milk in a bowl, stirring with a wire whisk until smooth. Add remaining 1/2 cup milk to reduced liquid, stirring constantly; bring to a boil. Add flour mixture, stirring constantly with a wire whisk. Bring to a boil, stirring constantly. Stir in remaining 1/4 teaspoon salt and 1/4 teaspoon pepper.
Spoon mushroom mixture over fillets; top with sauce, and sprinkle with cheeses. Bake, uncovered, at 375° for 15 minutes or until thoroughly heated. Broil 5 1/2 inches from heat (with electric oven door partially opened) 2 minutes or until lightly browned. Serve immediately.