Heat oven to 350°F. In 10-inch nonstick skillet, heat 1 tablespoon of the oil over medium heat. Cook shallot in oil 2 minutes, stirring occasionally, until almost tender. Add remaining 1 tablespoon oil, the mushrooms, salt and pepper. Cook 6 minutes, stirring occasionally, until mushrooms are golden. Stir in rosemary and sherry; cook 1 minute longer. Remove from heat.
In medium bowl, mix ricotta cheese and goat cheese with spoon until smooth. Stir in mushroom mixture. Fill each fillo shell with 1 tablespoon mixture. Place on ungreased cookie sheet. Top each with 1 teaspoon Parmesan cheese.
Bake 14 to 16 minutes or until golden. Serve warm.