Heat 1 tablespoon of the butter and the smashed garlic clove in a small skillet. Add the shallots and sauté for 2 to 4 minutes, until they soften. Pour in the sherry, deglaze the pan and cook for another minute or two, until the liquid has reduced. Remove and discard the smashed garlic clove and set the shallots aside to cool completely.

Place the remaining butter into a food processor and pulse a few times until the butter is smooth. Add the cooled shallots and Gorgonzola cheese and pulse until the ingredients are well-combined. Stir in the chopped parsley and lemon zest and season with salt and freshly ground black pepper to taste.

Place a sheet of plastic wrap on the counter and spoon the compound butter onto the plastic wrap in a log shape. Fold the plastic wrap over the butter, squeezing out as much air as possible and roll it into a smooth log, wrapping the plastic wrap around the butter and twisting the ends shut. Chill for at least 1 hour or up to 2 weeks in the refrigerator, or freeze for up to 3 months.