This elegant entrée delivers big lobster flavor in a creamy stew, with just a fraction of the fat and the cost you might expect. The surprise ingredient is the shrimp, which lend extra body to the finished stew. They also reflect and extend the flavor of the lobster so you don't have to use as much. Buy lobsters live, and have them steamed at the grocery store. A two-pound lobster is suitable if two (one-pound) ones are not available.
Remove meat from cooked lobster tail and claws, reserving shells. Chop meat; cover and place in refrigerator. Place lobster shells in a large zip-top plastic bag. Coarsely crush lobster shells using a meat mallet or rolling pin; set shells aside.
Peel shrimp, reserving shells. Cover and place shrimp in refrigerator.
Melt butter in a Dutch oven over medium-high heat. Add onion and celery; sauté for 2 minutes. Add reserved lobster shells, shrimp shells, and bay leaf; sauté 5 minutes or until shrimp shells turn orange. Slowly add 1/2 cup sherry, and cook 1 minute, stirring frequently. Add milk; bring mixture to a simmer. Reduce heat to medium; simmer 10 minutes, stirring occasionally (do not boil). Remove pan from heat. Cool milk mixture to room temperature; cover and chill overnight.
Strain milk mixture through a fine sieve into a bowl; discard solids. Set milk mixture aside.
Bring 1 1/2 cups water to a boil in a large saucepan over medium-high heat. Add potato; cook 5 minutes or until tender. Lightly spoon flour into a dry measuring cup; level with a knife. Combine flour and remaining 1/2 cup water, stirring well with a whisk. Add flour mixture to potato mixture; cook 1 minute or until thick, stirring occasionally. Stir in milk mixture; bring to a simmer. Stir in shrimp; cook 3 minutes or until shrimp are done. Remove from heat.
Pour one-third of the mixture in a blender, and process until smooth. Pour pureed mixture into a large bowl. Repeat procedure with remaining mixture in two batches. Return pureed mixture to pan. Stir in lobster meat and salt. Cook over medium heat 5 minutes or until thoroughly heated, stirring occasionally. Remove from heat; stir in cream and 1 teaspoon sherry. Ladle 1 1/3 cups stew into each of 6 bowls; sprinkle each serving with 1/2 teaspoon chopped parsley.