Preheat oven 200°C fan forced. Line 2 baking trays with baking paper. Heat a large non-stick frying pan over high heat. Add oil and mushrooms, cook, stirring occasionally for 6 minutes until all moisture evaporates. Set aside to cool.
Drain excess moisture from mushrooms and transfer to a large bowl. Add chicken mince, cheese, shallots, 1 egg, breadcrumbs and parsley. Season with salt and pepper and mix until well combined.
Lightly whisk the remaining egg. Cut the pastry in half. Spoon chicken and mushroom mince mixture along one long edge; brush the opposite edge of a pastry sheet with beaten egg. Roll up to form a sausage. Press pastry to secure. Repeat with remaining mixture and pastry.
Brush the top each roll with beaten egg and sprinkle with sesame seeds. Cut each roll into 4 or 6 smaller ones. Place onto baking trays pastry seem side down. Bake for 18-20 minutes or until pastry is golden and filling cooked through. Serve hot with sweet chilli sauce.