In a saucepot, cover potatoes and parsnips with water, bring to boil and salt the water. Cook to tender, 15-18 minutes.
In a large skillet, heat a few inches of water, add salt and boil the broccolini for 3 minutes. Cold-shock in an ice bath and drain.
Heat a large skillet over medium-high heat with olive oil, 3 turns of the pan. Brown the mushrooms well, add the shallots and garlic, and season with salt and pepper. After about 3 minutes, add in flour and stir to combine. Deglaze the mushrooms with sherry, wine or stock, and season with Worcestershire sauce, if using. Add in the broccolini and toss to combine.
Return drained potatoes and parsnips to the hot pot, add the sour cream or crème fraiche, horseradish, salt and pepper, and mash. Add a few splashes of stock for flavor and for consistency. Taste and adjust seasoning.
Place mashed potatoes on dinner plates and make a well in center, top with broccolini and mushrooms and add lots of crumbled blue cheese on top.