Snap off tough ends of asparagus. Remove scales from stalks with a knife or vegetable peeler, if desired. Cut stalks in half; arrange in a vegetable steamer over boiling water. Cover and steam 5 minutes. Place asparagus in ice water; set aside.
Coat a small nonstick skillet with cooking spray; place over medium-high heat until hot. Add shallots; saute until tender. Set aside.
Combine flour and milk in a saucepan; stir until smooth. Cook over medium heat, stirring constantly, until mixture is thickened. Remove from heat; stir in shallots, lemon juice, and next 5 ingredients.
Place 1 sheet of phyllo on a damp towel (keep remaining phyllo covered). Coat with cooking spray. Layer second sheet of phyllo on first sheet; coat with cooking spray. Cut stack in half lengthwise, making 2 rectangles. Drain asparagus. Place one-eighth of asparagus at short end of each rectangle; spoon one-eighth of sauce mixture over asparagus on each rectangle. Fold ends of rectangles over asparagus; roll up jellyroll fashion. Repeat with remaining phyllo, asparagus, and sauce mixture. Coat phyllo packets with cooking spray; place on a baking sheet coated with cooking spray. Bake at 350° for 30 minutes.