Place the chicken thighs on a baking sheet and rub them with olive oil. Sprinkle generously with salt and pepper. Roast for 35 to 40 minutes, or until cooked through. Set aside until cool enough to handle, then remove the meat from the bones and discard the skin. Cut the chicken into large chunks. You should have about 4 to 6 cups of chicken.
In a large pot or Dutch oven, melt the butter and saute the onions over medium-low heat for 10 to 15 minutes, until translucent. Add the flour and cook over low heat, stirring constantly, for 2 minutes. Add the chicken stock and bouillon cubes to the sauce. Bring to boil and simmer over low heat for 1 more minute, stirring, until thick. Add 2 teaspoons salt, 1/2 teaspoon pepper, and heavy cream. Add the cubed chicken, frozen vegetables, sherry, and parsley. Mix well.
For the pastry, cut into 4 inch circles, brush with egg and bake following instructions. Divide mixture into 4 bowls and top with puff pastry rounds. Serve immediately.