Fill the bottom of a double boiler halfway with water. Bring to a low boil. Melt butter in top of double boiler, add flour and stir until smooth.
Gradually add milk, stirring constantly until smooth. Add onion, mace, black pepper, Worcestershire sauce, salt, and crab meat with roe. Cook over simmering water for 20 minutes.
To serve, place 1 tablespoon of warmed sherry in each of 4 or 6 soup bowls (depends on how much soup you want). Ladle soup into bowls, top with a dollop of whipped cream, and sprinkle with fresh snipped parsley.