Heat oil in a 10- to 12-inch high-sided skillet over medium-high. Add onion slices; turn to coat in oil. Cook until sizzling, about 3 minutes. Add salt and toss to combine. Cover pan, reduce heat to medium, and cook until onions have collapsed to half their height and a pool of liquid has collected in bottom of skillet, about 8 minutes. Fold onions with a spatula, scraping bottom of pan to ensure they don’t stick or scorch. Cook, stirring every 5 to 6 minutes and reducing heat as necessary to maintain a gentle simmer, until liquid has evaporated, about 18 to 20 minutes. Stir in Worcestershire sauce and sherry. Remove pan from heat and let onions cool until just warm.

Preheat oven to 400°F.  Place a piece of parchment paper on work surface and place puff pastry on top. Roll out puff pastry to an even 10-inch square. Transfer pastry to prepared baking sheet.

Place Brie in center of pastry. Spoon onion mixture on top of Brie, spreading it evenly on top. Fold 2 opposite corners of pastry together to cover Brie; repeat with remaining 2 corners so Brie is completely encased in pastry. Tuck in any stray edges or corners of pastry as needed, making sure there are no gaps or holes that would let cheese leak out. Brush pastry all over with egg wash.

Place baguette slices on a separate baking sheet. Brush tops of slices with melted butter.

Bake Brie in preheated oven for about 35 minutes, until pastry is crisp and golden brown. While Brie bakes, toast baguette slices in oven until golden, 10 to 12 minutes. Remove baguette slices and Brie from oven and let cool for 5 minutes before serving.