Put all the seafood in a bowl and season with ⅓ teaspoon kosher salt and ⅓ teaspoon freshly cracked pepper.
Heat 1-½ tablespoons olive oil in a non-stick pan over medium heat.
Add shrimp, fish, and scallops, and cook for about 6 minutes total, stirring occasionally. Make sure the pan is large enough that the seafood isn’t crowded. If they touch each other, they’ll steam. Cook in batches if necessary.
When done cooking, remove from heat, put in a bowl, and squeeze some fresh lemon juice over it (about 1 tablespoon).
In the same pan, heat 2 tablespoons butter until the butter bubbles but doesn’t smoke.
Add 2 tablespoons minced shallots, 1 teaspoon paprika, ¼ teaspoon cayenne pepper, and a pinch of nutmeg (optional).
Stir a couple of times while cooking for about about 2 minutes (until shallots turn translucent).
Add 2 tablespoons flour and quickly whisk everything together (this step takes maybe 10 seconds).
Add 1 cup milk and ½ cup half & half and whisk until it reaches desired consistency. It’ll take about 2 minutes for the flour and liquids to fully interact. Therefore, give it a little time before adjusting the desired thickness (by adding more milk or flour).
Taste. Add kosher salt and freshly cracked pepper. Taste. Add 2 tablespoons of dry sherry and whisk everything for 30 seconds or so. Taste again.
Get your (ideally pre-warmed) plates ready.
Put the cooked seafood back into the cream sauce and stir for a couple of minutes.
Sprinkle some roughly chopped Italian flat-leaf parsley on top and serve over pasta, or with some French baguette or garlic bread.