In a 2- to 3-quart pan over medium-high heat, stir shallots in oil until limp, about 3 minutes. Add lentils, broth, and thyme. Bring to a boil, cover, reduce heat, and simmer just until lentils are tender to bite, about 25 minutes (6 to 8 minutes for red lentils). Drain lentils; save liquid for other uses.
Meanwhile, trim off discolored mushroom stem ends; rinse caps well. Oven-roast mushroom caps.
In a small bowl, mix mayonnaise, garlic, lemon juice, and lemon peel.
Thinly slice mushroom caps. Mound frisée equally on plates; top equally with lentils, then mushroom slices. Spoon about 1 tablespoon garlic-mayonnaise mixture onto each salad. Season salads to taste with remaining garlic mayonnaise, salt, and pepper.