Preheat the oven to 425°F (220°C).
In a sauté pan, heat 1 tablespoon of olive oil over medium heat. Add the minced shallots and cook for 2–3 minutes, until softened and fragrant.
Add the sliced mushrooms and a pinch of salt. Cook for 8–10 minutes, stirring occasionally, until their liquid releases and fully evaporates. The mushrooms should look lightly golden and tender.
Pour in ½ cup of dry white wine and let it simmer until all the liquid has cooked off—about 2–3 minutes.
Sprinkle in the flour and stir to coat the mushrooms evenly. Cook for 1 minute, just enough to take away the raw flour taste.
Gradually add the milk, stirring constantly. The sauce should begin to thicken and lightly coat the back of a spoon after 2–3 minutes.
Add the bay scallops and cook gently for 2–3 minutes, just until they turn opaque and are warmed through. Season with salt and pepper to taste.
Spoon the scallop mixture into 6 shallow ramekins or scallop shells and place them on a baking sheet for easy transfer to the oven.
In a small bowl, combine the panko breadcrumbs, chopped parsley, 1 tablespoon of olive oil, and a pinch of salt and pepper.
Top each shell with about 1 teaspoon of the breadcrumb mixture, spreading it lightly across the surface.
Bake for 15 minutes, until the tops are golden and crisp and the sauce is bubbling around the edges.
Serve warm, straight from the oven.