Preheat the oven to 400F. Put 1/4 cup butter into a large skillet set over medium-high heat, add a drizzle of oil and sauté the onion for 4-5 minutes, or until soft. Roughly chop and add the mushrooms along with the garlic, thyme and rosemary and cook, seasoning with salt and pepper, until the mushrooms start to turn golden and the excess liquid has evaporated. Transfer to a bowl, reserving a couple spoonfuls if you like to stir into the gravy, and stir in the lentils. Set aside to cool completely. (The filling can be made up to three days ahead, and refrigerated.)
Unroll your thawed pastry, or cut the block in half and roll each piece into a 10x10-inch square. If you’re using it, spread or drop the goat cheese in spoonfuls down one third of each piece of pastry. Spoon the mushroom-lentil filling down the middle. Fold the goat cheese side over the mushrooms, and roll it over to form a log. Transfer to a parchment-lined sheet (if you have room, you could assemble them on the parchment-lined sheets) and tuck under the ends.
In a small dish, lightly beat the egg with a spoonful of water. Brush over the Wellingtons and lightly score the top with a sharp knife, allowing it to slice through in a few places. (Alternatively, cut a few slashes in the top.) Bake for 25-30 minutes, or until deep golden.
Meanwhile, return the skillet to the stovetop over medium-high heat and sprinkle the flour over the bottom of the pan. Let it sit for a minute, until it starts to turn golden. (Don’t walk away — it will darken quickly.) Whisk in the remaining tablespoon of butter (or a tablespoon of oil), and the stock. Bring to a simmer, whisking constantly, until the gravy bubbles and thickens. Whisk in the soy sauce and continue to cook, stirring often, until the gravy darkens and reduces. Stir in any mushrooms you set aside.
Serve the Wellington in slices, drizzled with gravy. Serves 8 or more.