In a food processor, grind the fish until smooth. Transfer to a large bowl and gently stir in the eggs. Slowly stir in 2 cups cream, salt, pepper, cayenne, and nutmeg. Cover and refrigerate overnight.
The next day, separate the meat from the crayfish shells. Slice the tails into 1⁄2-inch-thick slices and refrigerate meat until ready to use. Heat olive oil in a large saucepan over medium-high. Add crayfish shells and cook, smashing them to extract their juices, 7 to 8 minutes. Add the mushrooms, carrots, celery, and leek and cook until soft, 10 minutes. Add tomato paste and cook 2 minutes. Stir in cognac and cook until the liquid has almost evaporated, 1 minute. Stir in remaining 4 cups cream, reduce the heat to maintain a simmer, and cook 20 minutes. Strain sauce through a fine-mesh strainer over a bowl, discarding solids. Season with salt and pepper and keep warm.
Meanwhile, line a work surface with plastic wrap. Place 1 cup mousse on the edge of the plastic wrap closest to you, leaving about a 2-inch border. Working from one long end and using plastic wrap to lift and guide, roll up mousse, creating a log. Twist the ends of the plastic wrap to secure. Wrap in plastic wrap one more time and set aside. Repeat process with remaining mousse until you have four logs.
Bring a medium saucepan of water to a low simmer. Add the mousse logs and place a smaller saucepan or weight over them to ensure they stay submerged. Cook until set, about 45 minutes, then remove from the water. Wait 5 minutes, then transfer to an ice bath until chilled.
Heat oven to 375°. Unwrap logs and place each into individual oven proof casserole dishes, or place all in one 9-by-13-inch baking dish. Cover each with 1⁄2 cup of sauce and bake until bubbling, about 12 minutes. Divide tail pieces between each baking dish and increase oven temperature to 425°. Bake until the tops of each mousse are golden brown, 6 to 8 minutes longer.