- In heavy medium saucepan, cook flour over medium heat, whisking constantly, until light tan all over (the color of an almond shell), about 5 minutes.
- Immediately remove from heat and continue whisking until flour cools slightly, 2 to 3 minutes.
- Set aside to cool completely.
- Meanwhile, stick cloves in 1 shallot and set aside.
- Thinly slice remaining 2 shallots.
- In heavy large skillet, heat oil over high heat.
- Add sliced shallots and cook, stirring, until golden brown, about 3 minutes.
- Add mushrooms and ½ teaspoon salt and cook, stirring, until tender and they begin to release their juices, 3 to 4 minutes.
- Remove from heat and set aside.
- Gradually whisk in ¾ cup milk to cooled flour in saucepan until smooth paste forms; then gradually whisk in remaining 1¼ cups milk until no lumps remain.
- Add remaining ½ teaspoon salt, whole shallot with cloves, bay leaf and nutmeg.
- Place over medium-high heat and bring to a boil, whisking constantly.
- Boil until thickened, whisking constantly, about 5 minutes.
- Reduce heat to low and simmer, whisking occasionally, until flavors have blended, about 15 minutes.
- Discard whole shallot and bay leaf.
- Stir mushroom mixture into milk mixture and briefly warm through.
- Serve hot.