Combine first 4 ingredients; stir well. Pat filets dry. Coat both sides of filets with spice rub. Heat 1 tablespoon oil in a large skillet over medium-high heat until skillet is hot. Sear filets, in 2 batches, 1 to 1 1/2 minutes on each side. Remove filets from skillet; place on a plate, and cover and chill until ready to assemble Wellingtons. (Don't clean skillet.)
While filets are chilling, melt 3 tablespoons butter in same skillet over medium-high heat. Add onion, carrot, celery, and garlic; sauté 5 minutes or until very tender. Add 3/4 cup Madeira, brewed coffee, and broth; simmer 5 minutes. Remove from heat, and let cool. Transfer sauce to a 4-cup glass measuring cup, and chill overnight, if desired, or pour cooled sauce into ice cube trays and freeze. Once frozen, seal frozen sauce cubes in zip-top freezer bags.
Melt 2 tablespoons butter in same skillet over medium-high heat. Add mushrooms, shallots, 1/2 teaspoon salt, and 1/2 teaspoon pepper; sauté until all liquid evaporates. Add 1/2 cup Madeira; cook over medium-high heat until all liquid evaporates. Remove from heat, and let cool. Cover and chill until ready to assemble Wellingtons.
Roll each of 8 puff pastry shells to about 1/8" thick on a lightly floured surface; spoon 1 heaping tablespoonful mushroom filling in center of each pastry. Top each with a chilled filet. Brush edges of each pastry square with 1 beaten egg. Wrap 2 opposite sides of pastry over each filet, overlapping them; seal seam with beaten egg. Wrap remaining 2 sides of pastry over filet, and seal with beaten egg. Seal any gaps with beaten egg and press pastry around filet to enclose completely. Wrap Wellingtons individually in press-and-seal plastic wrap. Place wrapped Wellingtons in large zip-top freezer bags, and freeze overnight or up to 1 month.
To bake, place oven rack on lowest oven shelf; preheat oven to 425º. Place a broiler pan on oven rack; heat pan 5 minutes. Brush tops and sides of frozen Wellingtons with 2 beaten eggs. Carefully place frozen Wellingtons, seam side down, on preheated pan. Bake at 425º for 36 minutes.
While Wellingtons bake, melt 2 tablespoons butter in a saucepan over medium heat; add 2 1/2 tablespoons flour and cook, stirring constantly, 1 minute. Add reserved Madeira sauce; cook, stirring constantly, over medium heat 6 to 8 minutes or until slightly thickened. (If using frozen Madeira sauce cubes, thaw cubes in a saucepan over medium heat before adding to flour mixture.) Stir in whipping cream; simmer 5 minutes or until desired thickness. Add 1/2 teaspoon salt. Remove from heat.
Arrange baked Wellingtons on a serving platter. Cut a small slit in top of each pastry, and tuck several sprigs of fresh herbs into each slit. Serve with Madeira sauce.
Note: You can bake beef Wellingtons the same day they're assembled. After wrapping beef filets in pastry, cover and chill Wellingtons 1 hour. Bake as directed above, reducing the baking time to 20 to 25 minutes.