Clean the mushrooms. Remove the stem ends and cut the mushrooms into small cubes.
Peel and finely chop the onion.
Heat 2 tbsp oil in a pan and fry the onions and mushrooms. Wash the thyme, shake dry, pick off the leaves and add to the pan.
Add salt and pepper, then cook over a medium heat, stirring, until all the liquid has evaporated. Allow to cool to room temperature and mix thoroughly with the veal roast.
Cut a pocket lengthways in the top side of the beef fillet, about 3cm deep.
Pipe the mushroom filling into the pocket using a piping bag.
Close the opening with cocktail sticks and tie the beef fillet with kitchen string to secure. Season with salt and pepper.
Heat 1 tbsp oil in a pan and fry the fillet until browned on all sides. Bake it in a small baking dish in the preheated oven at 120°C (100°C fan, gas 1) for about 1 1/4 hours.
Meanwhile, peel and finely slice the shallots.
Heat the remaining oil in a non-stick pan and fry the shallots until golden brown.
Add the maple syrup and let the shallots briefly caramelise, then pour in the vinegar and Madeira. Add the veal stock and star anise, and simmer, uncovered, over a medium heat for 20 minutes. At the end of the cooking time, season with salt and pepper.
Remove the fillet from the oven, remove the sticks and string. Wrap the meat in foil and allow to rest for 5 minutes. Cut into slices and serve with the Madeira sauce.