Preheat oven to 180C. Melt butter in a saucepan over medium heat, add onion and cook until tender (6-8 minutes). Add Pedro Ximénez, vinegar, orange juice and rind, sugar and mustard, cook to combine (5-10 minutes).
Place shanks in a large roasting pan, season to taste, spoon over onion mixture. Reduce oven to 150C and roast shanks, basting occasionally, until very tender and caramelised (3½-4 hours). Cover loosely with foil and set aside to rest (20 minutes). Strain sauce (reserve solids), then skim fat from sauce, return sauce to shanks and keep warm.
Meanwhile, for creamed parsnips, steam parsnip in a steamer over boiling water until tender (20-30 minutes). Bring cream to the boil in a saucepan, transfer to a blender with parsnips and butter, blend until smooth, season to taste and serve hot with shanks, with pan juices spooned over.