Boil asparagus until barely tender-crisp, 2 minutes; drain and rinse asparagus in cold water.
Heat grill to medium-high (about 450°).
Cook leek in butter in a large frying pan over medium heat until soft, 5 minutes. Add thyme, 1/2 tsp. salt, 1/4 tsp. pepper, and the morels; cook, stirring occasionally, until morels are tender, 5 minutes. Stir in sherry and reduce by half, 30 to 45 seconds. Set vegetables aside.
Fold a 12- by 17-in. sheet of heavy-duty foil in half crosswise. With a knife tip, poke dime-size holes through foil about 2 in. apart. Oil one side of foil. Rub fish on both sides with oil and put skin side down on foil. Sprinkle with remaining 1/4 tsp. each salt and pepper.
Set salmon on foil on cooking grate; grill, covered, until fish is barely cooked through, about 10 minutes. With 2 wide spatulas, slide fish from skin to a warm baking sheet; tent with foil. If you want crisp skin, continue to cook skin on foil until crisp, 1 to 3 minutes more. Remove foil from grill, then gently peel off skin, using fingers or a wide spatula (skin may break into pieces). Set salmon skin, if using, on a platter.
Add cream and asparagus to mushrooms and bring to a boil over high heat, stirring; boil longer to thicken sauce if you like. With 2 spatulas, set fish on skin. Spoon half the vegetable sauce over salmon and serve the rest on the side. Serve immediately.
*Soak dried morels in hot water until softened, 8 minutes. Squeeze out water; cut in half.
Note: Nutritional analysis is per serving.