In a large pot, melt the butter over medium heat.
Add the onion and cook, stirring occasionally, until softened (about 4 minutes).
Sprinkle in the flour and seasonings, stirring constantly. Cook for 1 minute to remove the raw flour taste.
Gradually add the broth, a little at a time, whisking continuously to ensure the mixture stays smooth and lump-free.
Stir in the sherry, bay leaf, carrot, and celery.
Bring the mixture to a simmer and cook for 12–14 minutes, or until the vegetables are tender.
Stir in the chicken and cream. Simmer for an additional 5 minutes to heat through and combine the flavors.
Remove and discard the bay leaf.
Season the dish with salt and pepper to taste.
Garnish with parsley if desired, and serve warm.