Combine first 5 ingredients in a medium saucepan; bring to a boil. Cover, reduce heat, and simmer 45 minutes or until rice is tender. Discard bay leaf; do not drain.
Heat a large nonstick skillet over medium heat. Add sausage to pan; cook 5 minutes, stirring to crumble. Add mushrooms, shallots, and celery. Cover, reduce heat, and cook 8 minutes. Stir in wild rice mixture, wine, and sage. Cook 8 minutes or until almost all liquid has been absorbed. Sprinkle with parsley.