Cut asparagus diagonally into 1/2-inch pieces.
Melt butter in a skillet; add asparagus, and saute 2 minutes. Add sherry, and cook 1 minute. Spoon evenly into 5 1/2-inch scallop baking shells; top evenly with scallops, and sprinkle with salt and pepper.
Roll puff pastry to 1/8-inch thickness on a lightly floured surface. Cut into 4 (6 1/2-inch) rounds; place rounds over scallop shells, pressing edges to seal. Brush with egg. Cut leaves from remaining pastry; brush with egg, and place on shells. Cut slits in tops, and place shells on a baking sheet.
Bake at 450° for 12 to 15 minutes or until golden. Serve immediately with Citrus Butter.