Thaw the frozen phyllo dough for at least 30 minutes.
Combine the mustard, horseradish, 1Tbsp of heavy cream, and black pepper (to taste) in a bowl. Brush the mixture on all sides of the tenderloins.
Combine the duxelles and fois gras pâté in a bowl. Then, coat the beef with the duxelles and fois gras pâté.
Lay the phyllo dough on a double layer of cling wrap. Layer the prosciutto on the phyllo dough. Leave a 3cm (2in) border of phyllo dough exposed at the top and bottom.
Roll the coated beef in the phyllo dough+prosciutto wrap. Wrap them tightly in cling wrap. Chill for at least 30 minutes.
Thaw the frozen puff pastry for at least 30 minutes
Dust your counter with flour. Use a rolling pin to spread the puff pastry into a rectangle, at least 6cm (4in) larger than the beef roll. Fold the pastry over the Wellingtons, tucking all flaps underneath. Trim excess puff pastry.
Brush the egg wash over the pastry. Score the top of the Wellingtons with a knife. Cover with cling film. Chill for at least 30 minutes.
Preheat your oven to 220°C (425°F). Cook the Wellingtons for 15-20 minutes until golden brown. The center of the Wellingtons should register 43°C (110°F) on a meat thermometer. Let rest for 10 minutes before carving.
Reheat the red wine sauce.
Cut off the ends of the Wellingtons. Serve the Wellingtons sliced, with the sauce as an accompaniment.