Heat a medium saucepan over medium heat. Add the butter, then the shallots.
Sauté the shallots until translucent, about 2 minutes.
Add the mushrooms and cook until they release their moisture and turn tender, about 3 minutes.
Add the peppercorns, thyme, and bay leaf. Cook 30 seconds to 1 minute, until fragrant.
Add the red wine and reduce by half, 3–5 minutes.
This step strips out the wine's rawness before the Madeira goes in.
Add the Madeira, bring to a boil, then drop to a simmer.
Whisk in the demi-glace until fully blended.
Start with 3/4 cup if you're unsure how concentrated your demi-glace is — see "What Most Cooks Get Wrong" above.
Add the optional cream for extra richness.
Reduce until the sauce coats the back of a metal spoon and holds a clean line when you run your finger through it — not just until it "looks thicker."
Taste and adjust salt and pepper.
Serve over your meat or poultry of choice.