Using large stockpot over medium high heat, dry sauté the mushrooms by adding them to the empty hot pan. As the mushrooms cook, they will release liquid. Stir occasionally to prevent burning. When no liquid is present and they begin to stick to the bottom of the pan, add dry sherry and use a flat bottom spoon to scrape the bottom of the pan to release anything that has stuck. Once the sherry is no longer liquid, transfer the mushrooms to a bowl and set aside.
Using the same pot, melt the butter medium high heat. Sauté the onions in the butter for 5-15 minutes, stirring only occasionally to prevent burning. When onions are nearly done, add the garlic, stir, and allow to cook for a couple of minutes.
Once golden brown, sprinkle with flour, stir, and allow to cook for several minutes until fragrant.
Stir in the dill, paprika, soy sauce, broth, and milk. Add sautéed mushrooms back to the soup as well. Scrape bottom of pan to release anything that may have stuck. Reduce heat to low, cover, and simmer for 30 minutes, stirring occasionally.
Finally, stir in the salt, ground black pepper, lemon juice, parsley and sour cream. Mix together, reduce heat to low, and allow to heat through. Using an immersion blender, partially blend the soup. Try to create a creamy blend while preserving some of the chunks for texture. Taste and add additional salt and pepper, if desired.
Serve immediately with a small spoonful of sour cream.