Melt butter in a large skillet over medium heat. Add mushrooms, leeks, and celery; sauté 7 to 8 minutes or until tender. Combine sautéed vegetables and bread in a large bowl; toss well.
Combine whipping cream and next 6 ingredients; pour over bread mixture, and toss well. Cover and let soak in refrigerator 30 minutes.
Meanwhile, prepare Vanilla Lobster Sauce.
Pour bread pudding mixture into a buttered 11" x 7" baking dish. Bake, uncovered, at 350° for 45 minutes or until set and lightly browned. Serve Vanilla Lobster Sauce over bread pudding. Garnish each serving, if desired.