Remove scales from stalks with a knife or vegetable peeler, if desired.
Cut stalks in half; arrange in a vegetable steamer over boiling water. Cover and steam 5 minutes.
Place asparagus in ice water; set aside.
Saute shallots in 2 tablespoons butter in a heavy saucepan over medium heat until tender.
Add flour, stirring until smooth. Cook, stirring constantly, 1 minute. Gradually add half-and-half; cook over medium heat, stirring constantly, until mixture is thickened. Stir in lemon juice and next 5 ingredients.
Place 1 sheet of phyllo on a damp towel (keep remaining phyllo covered).
Brush with 2 teaspoons melted butter.
Layer second sheet of phyllo on first sheet; brush with 2 teaspoons butter.
Cut stack in half lengthwise, making 2 rectangles.
Drain asparagus.
Place one-eighth of asparagus at short end of each rectangle; spoon one-eighth of sauce mixture over asparagus on each rectangle. Fold ends of rectangles over asparagus; roll up jellyroll fashion. Repeat with remaining phyllo, butter, asparagus, and sauce mixture.
Brush phyllo packets with remaining melted butter; place on a greased baking sheet.