Reduce first six ingredients (clam juice, sherry, whole milk, garlic, shallots, bay leaf) by half in small saucepan, cooking on medium to medium-high heat.
In separate saucepan (1-qt minimum) prepare roux. Heat one tablespoon of butter in saucepan on medium heat until it is foamy. Sprinkle in flour, stirring a couple of minutes with metal whisk until well mixed (but not browned).
Slowly add reduced mixture to roux, stirring quickly to incorporate. When you first add some of the mixture, roux will bubble up. Just keep adding mixture and keep whisking to incorporate.
Turn heat to low. Slowly whisk in butter, 2 tablespoons at a time. Add lemon juice, salt, and white pepper. Add more clam stock if sauce is too thick. Makes about 2 cups.