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Prepare the Dipping Sauces: Mix the ingredients for each sauce in separate bowls. Cover and refrigerate until ready to serve. (Can be made up to two days ahead.)
Prepare the Beef Wellington Bites: Preheat your oven to 400°F (200°C). Season the beef cubes with salt and pepper. Heat a skillet over high heat, add the ghee or oil, and quickly sear the beef for 30 seconds to 1 minute per side. Remove and refrigerate.
In the same skillet, sauté the mushrooms over high heat until they release their liquid and begin to brown. Reduce the heat, add the minced shallot, and cook until softened. Transfer the mixture to paper towels to drain excess moisture.
Roll out the puff pastry sheets to a rectangle (10×14 inches) and cut each into 12 even squares.
Lay a piece of prosciutto in the center of each square, add a tablespoon of the mushroom mixture, and top with a beef cube. Bring up the corners of the pastry and seal tightly, placing them seam-side down on a parchment-lined baking sheet.
Brush each with beaten egg yolk and sprinkle with coarse salt, if desired.
Bake: Bake for 20 minutes or until the puff pastry is golden brown. Serve warm with the prepared dipping sauces.