Heat oven to 400°F. Line a large sheet pan with parchment.
Stir sausage, breadcrumbs, onion, Dijon, parsley, garlic, paprika, fennel, salt, and pepper until evenly combined.
Lightly flour the counter. Unfold puff pastry and roll gently to smooth seams.
Cut pastry into long rectangles. Shape sausage mixture into even logs to match lengths.
Lay a sausage log along one long edge of each pastry strip. Brush borders with a little milk.
Roll pastry tightly around filling. Press seam to seal and place seam-side down.
Slice into bite-size pieces, about 1½ inches. Arrange on the prepared pan, seam-side down.
Brush tops with remaining milk and sprinkle with sesame seeds, if using.
Bake 22–26 minutes, rotating once, until deep golden and sausage is cooked through.
Cool 5 minutes before serving. Enjoy warm with mustard or chutney.