In medium nonstick saucepan, combine flour and 1/2 teaspoon salt. Gradually stir in milk with wire whisk; cook and stir over medium heat until bubbly and thickened. Remove from heat; stir in sherry and margarine. Cover to keep warm.
In small bowl, combine all omelet ingredients; mix well. Spray small nonstick skillet with nonstick cooking spray. Heat over medium-high heat until hot. Add 1/4 of egg mixture to skillet. Cook 1 1/2 to 2 minutes or until set. With pancake turner, loosen edge of omelet; gently shake pan and let omelet slide out onto serving plate. Repeat with remaining egg mixture.
Heat oil in medium nonstick skillet until hot. Add mushrooms, shrimp and bell pepper; cook 3 to 4 minutes or until shrimp turn pink. Add lemon juice; cook an additional 1 minute.
To serve, top each omelet with 1/4 of shrimp mixture and 1 tablespoon sauce. Fold omelets in half over mixture; top each with 1/4 cup sauce. If desired, sprinkle with paprika, chopped fresh parsley or dill.