Drain oysters, reserving 3/4 cup oyster liquor; set liquor aside. Coarsely chop oysters. Combine half of chopped oysters, soft breadcrumbs, whipping cream, 1/4 teaspoon salt, and paprika, stirring until well blended. Cover and refrigerate remaining chopped oysters.
Using a sharp knife, make a 1- inch-deep incision down the length of each fillet. Stuff each pocket with oyster mixture. Place stuffed fillets in a shallow baking pan; brush with beaten egg, and sprinkle with fine, dry breadcrumbs. Bake at 350° for 25 minutes or until fillets flake easily when tested with a fork. Transfer to a warm serving platter; set aside, and keep warm.
Melt butter in a heavy saucepan over low heat; add flour, stirring until smooth. Cook 1 minute, stirring constantly. Gradually add milk, reserved oyster liquor, and remaining chopped oysters; cook over medium heat, stirring constantly, until thickened and bubbly. Remove from heat, and stir in remaining salt and pepper.
Pour oyster sauce over fillets, and garnish with fresh parsley sprigs, if desired. Serve immediately.