Melt butter in a large, heavy saucepan over medium heat. Add mushrooms, onion, and garlic; cook and stir until tender, about 10 minutes. Add salt, pepper, and thyme; cook and stir until combined, about 1 minute. Stir in chicken broth, heavy cream, and cream cheese. Reduce heat to a low simmer and pour in sherry. Cook, stirring constantly, until flavors are well incorporated, about 45 minutes.
In a large stockpot, saute the onions in oil until they are glossy. Stir in garlic, paprika, celery, carrots, and saute for 10 minutes. Once the vegetables have sauteed for 10 minutes stir in tomatoes, chicken stock, lentils, bay leaves, salt, and pepper. Stir well, then add the wine and bring the mixture to a boil. Slowly reduce the heat and cook for 1 hour on low to medium heat; or until the lentils are tender.