Preheat oven to 300°F. Combine oil, shallots and garlic in small glass baking dish. Cover dish with foil. Bake until shallots and garlic are very tender and pale golden, about 1 hour. Cool slightly. Thinly slice shallots and garlic; reserve oil in dish. (Can be prepared 1 day ahead. Cover separately and refrigerate.)
Transfer 1 tablespoon oil from baking dish to heavy large saucepan. Heat oil over medium-high heat. Add mushrooms, rosemary, thyme, sage, and roasted shallots and garlic to saucepan; sauté until mushrooms are tender, about 5 minutes. Add Marsala and Sherry; boil until syrupy, about 6 minutes. Add stock; boil until liquid is reduced by half, about 10 minutes. Add cream; boil until mixture thickens to sauce consistency, about 5 minutes. Season with salt and pepper. Serve with turkey.
