Preheat oven to 400°F. Lightly butter 8 small baking dishes.
In a large skillet, heat olive oil over medium heat. Sauté shrimp and scallops until firm, about 5 minutes.
In a medium saucepan, melt butter over medium heat. Stir in flour until smooth. Gradually add chicken broth and raise heat to high. Stir until thickened. Mix in shallots, mushrooms and wine. Cook for 5 to 10 minutes.
Arrange shrimp, scallops and crab in the bottom of prepared dishes. Pour sauce over seafood and cover with cheese.
Bake in preheated oven until golden brown, about 12 to 15 minues. Sprinkle with parsley and serve.