In small saucepan, simmer water and demi-glace until dissolved; set aside. In large skillet, melt 2 tbsp. butter; sauté shallots until tender (about 5 min.). Stir in mushrooms and parsley, sautéing until mushrooms are tender (8-10 min.). Stir in mustard, thyme, salt and pepper; set aside. In another large skillet, melt 1/4 cup butter over medium heat; sauté fillets until browned (3-4 min. per side). Season with North Woods Grill Seasoning; remove from pan. Stir flour and tomato paste into pan drippings; cook 3 min., stirring constantly. Slowly stir veal demi-glace and wine into pan drippings. Bring to a boil; boil and stir until thickened (about 1 min.). Stir 1 tbsp. sauce into mushroom mixture; refrigerate remaining sauce, covered. On lightly floured surface, cut each sheet of puff pastry in half. Place 1/4 of mushroom mixture onto center of each piece of pastry; top with steak. Fold pastry around steak as if you were wrapping a package, wetting edges with water and pinching to seal. Place seam side down on parchment-lined baking sheet. Refrigerate, covered, several hrs.
To Bake: In small bowl, combine egg and water with fork; brush egg mixture over each pastry bundle. Pierce top of pastry several times with fork to vent. Bake in a preheated 400° oven, uncovered, until golden-brown (about 25 min.). Reheat red wine sauce; spoon over each Wellington. Serve immediately.