Bring the water and two tablespoons of the salt and the cayenne to a boil in a large pot. Drop in the crabs and return the water to a boil. Reduce the heat to low, cover and simmer for about 10 minutes. Drain the crabs, and then clean and remove the crabmeat. Set the meat and the golden roe aside.
Melt the butter in a large, heavy pot or Dutch oven over medium heat. When the foam begins to subside, add the flour and mix well. Stirring constantly with a wire whisk, stream in the milk and cream and cook over high heat until the mixture comes to a boil, thickens slightly, and is smooth. Stir in the crabmeat and roe, the onions, lemon peel, mace, the remaining salt, and the white pepper. Reduce the heat to low and simmer, partially covered, for about 20 minutes. Stir in the sherry if using, taste and adjust for seasoning. Ladle the soup into bowls and garnish with the parsley.