Preheat oven to 400°F. Line a sheet pan with parchment and lightly oil it.
Wipe mushrooms clean. Twist out stems and set caps hollow-side up on the pan.
Finely chop the mushroom stems and the shallot.
Warm olive oil in a skillet over medium heat. Cook shallot and chopped stems until browned at the edges, 5–7 minutes.
Stir in garlic and cook 30 seconds. Remove the skillet from heat.
Mix in cream cheese, Parmesan, smoked paprika, chipotle, Worcestershire, salt, pepper, and parsley until smooth. Fold in panko.
Spoon and mound the filling into mushroom caps. Drizzle the tops with melted butter.
Bake until caps are tender and tops are golden, 16–18 minutes. Cool 5 minutes before serving.