Heat a large skillet over medium-high heat. Swirl in olive oil and heat until very hot. Add sage leaves; fry until crisp, about 1 minute per side. Transfer sage leaves, using tongs, to a plate lined with paper towels. Remove skillet from heat, reserving oil.
Mix ground chicken, egg, almond flour, Parmesan cheese, sage, parsley, salt, and pepper together in a large bowl. Form into balls using an ice cream scoop, a tablespoon, or your hands.
Reheat oil in the skillet over medium heat. Cook meatballs until browned on all sides, about 7 minutes. Add mushrooms and shallot; cook until tender, about 5 minutes.
Stir chicken broth, Marsala wine, butter, and arrowroot flour into the skillet. Cover and cook, stirring once, until sauce thickens slightly, 5 to 7 minutes.