Preheat oven to 400°F (200°C).
Heat olive oil in a skillet over medium heat. Add shallots and garlic; sauté until fragrant and translucent.
Add finely chopped mushrooms, cook until moisture evaporates and mushrooms are soft.
Remove from heat and stir in chopped parsley, dill, cream cheese, salt, and pepper to create the herb and mushroom duxelles. Set aside to cool.
On a lightly floured surface, roll out the puff pastry sheet into a rectangle large enough to fully wrap the salmon fillet.
Place the salmon fillet in the center of the puff pastry. Spread the cooled mushroom duxelles evenly over the top of the salmon.
Fold the puff pastry over the salmon, sealing edges tightly and trimming any excess pastry to create a neat parcel.
Brush the puff pastry with beaten egg yolk for a glossy finish.
Transfer the wrapped salmon onto a baking sheet lined with parchment paper.
Bake in the preheated oven for 25-30 minutes, or until the pastry is golden brown and crisp.
Remove from oven and let rest for 5 minutes before slicing.
Slice the Wellington into thick portions and plate each slice centered on a white round plate.
Garnish each portion with a small sprig of dill and drizzle lemon butter sauce lightly around the plate.
Serve immediately.