Roll out puff pastry on a lightly floured surface into a 12- x 15-inch rectangle; transfer to an ungreased baking sheet. Cut a 1-inch strip from each side, and brush bottom of strips with egg. Place strips around edges of pastry rectangle; brush edges with egg. Prick center of pastry with a fork. Bake at 400º for 13 to 15 minutes or until golden brown.
Melt butter in a large nonstick skillet over medium-high heat. Add mushrooms and shallot; cook, stirring often, 5 minutes or until mushrooms are tender. Add wine and next 3 ingredients; cook 2 minutes or until all liquid is absorbed. Add cream, and cook 1 more minute. Spread mushroom mixture over baked pastry; top evenly with lobster and cheese. Bake at 400º for 5 minutes or until cheese melts.