Carrot Wellington

Name: Carrot Wellington
Ingredients: 4 large shallots, peeled, quartered lengthwise; 2 lb. medium carrots, scrubbed, trimmed; Extra-virgin olive oil (for drizzling); 1 Tbsp. Diamond Crystal or 1¾ tsp. Morton kosher salt, plus more; 1 cup raw walnuts; 4 oz. goat cheese, room temperature; 3 oz. Gruyère, coarsely grated (about ¾ cup); ½ cup finely chopped parsley, divided; 1 Tbsp. plus ½ tsp. curry powder; Freshly ground pepper; 2 Tbsp. Dijon mustard; 1 Tbsp. honey; 1 sheet frozen puff pastry (one 14-oz. package or half of a 17.3-oz. package), thawed; All-purpose flour (for surface); 1 large egg, beaten to blend; ¾ cup plain whole-milk yogurt; ¼ cup fresh lemon juice