Preheat oven to 350°. Rinse lamb shanks; trim excess fat. Lay shanks in a single layer in a large roasting pan. Pour onions around them. Pour in 2 cups broth, 1 cup sherry, and the soy sauce; sprinkle with pepper to taste. Cover pan tightly with foil and bake 1 1/2 hours.
Meanwhile, make gremolata: Mix parsley and lemon zest in a bowl with salt and pepper to taste. Chill, covered, until ready to serve.
Tuck parsnips into pan around shanks. Bake, covered, until meat is very tender when pierced, about 1 hour more.
Increase oven temperature to 400°. With tongs, transfer shanks and parsnips to a large, rimmed baking pan (set pan with juices and onions aside). Brush shanks and parsnips with olive oil. Bake until shanks are browned, 15 to 20 minutes (if meat browns before pan juices are ready, turn off oven and keep warm).
Meanwhile, skim and discard fat from pan juices. Measure juices with onions; you need about 2 1/2 cups (if necessary, supplement with more broth). Set pan over 2 burners on high heat and bring to a boil. Stir in remaining 2 tbsp. sherry.
With a wide spatula, loosen shanks and parsnips from pan. Transfer shanks with tongs to a platter and arrange parsnips and onions around them. Pour juices on top. Sprinkle with 2/3 of gremolata; serve with remaining gremolata on the side.
Note: Nutrition analysis is per serving.