In a large saucepan, saute onions in butter until tender. Stir in the flour, mustard and cayenne until blended; gradually add cream and broth. Bring to a boil; cook and stir for 2 minutes or until thickened.
Stir in the parsley, thyme, hot pepper sauce and Worcestershire sauce. Cover and cook over low heat for 10 minutes, stirring occasionally. Add shrimp and sherry or additional broth; heat through. Season with salt and pepper.