Melt the butter over medium-low heat in a saucepan. Stir in the flour to make a blond roux. When you see the first hints of browning, remove from the heat and whisk in the hot milk to form a béchamel. (It will have the texture of mashed potatoes.)
Stir the cheese into the hot béchamel and set aside.
In a second skillet, heat the ham until it begins to steam, then add the mushrooms and wine. Bring the mixture to a boil and cook until mostly dry.
Add the shrimp and cook until they turn pink. Lower the heat, add the brandy, and let it mostly boil away.
Stir the shrimp and ham mixture, the parsley, and the tarragon into the béchamel. Add salt and cayenne.
Spoon the sauce into the puff pastry shells and place on a baking sheet. Bake the shells in a preheated 400-degree oven for about two minutes, and serve immediately.