Heat oven to 425°F. Line 15x10x1-inch pan with cooking parchment paper.
In large bowl, mix sausage, mushrooms, cheeses, bread crumbs and egg until well combined.
Remove crusts from pouches; unroll on work surface. Cut each crust into 8 wedge-shaped pieces. Brush crust edges lightly with water. Place about 2 tablespoons sausage mixture on each crust piece.
Bring 3 crust points up and over center of sausage mixture; press edges to seal, making 3 seams. Carefully place dumplings, seam side up, on pan. Brush with milk; sprinkle very lightly with salt.
Bake 15 to 20 minutes or until deep golden brown. Remove from pan to cooling rack; cool 10 minutes. Serve with salsa for dipping.