Trim off the tough, thick end of each asparagus stalk. Line a baking sheet with aluminum foil for easier clean up, if desired. Spread asparagus out on ungreased baking sheet. Drizzle extra virgin olive oil evenly over the top of the asparagus Line another baking sheet with foil. Remove the stems from the Portobello caps. Rub the tops and bottoms of the caps with 1/2 tbsp of olive oil per cap. Sprinkle the caps with salt and pepper. Roast the mushrooms and asparagus for about 15 minutes till the vegetables are tender and cooked through. The asparagus may cook faster than the mushroom caps depending on how thick they are. While vegetables are roasting, make the sauce. In a small saucepan, melt butter over medium heat. Whisk in the milk and garlic, stirring constantly, till the milk gets hot and begins to thicken and bubble around the edges. Whisk in the goat cheese and cayenne till the goat cheese is melted and the sauce is creamy. Season with salt to taste). Turn the sauce to low and keep it warm till ready to serve. When the vegetables are cooked, remove them from the oven. Drain off any excess liquid from the mushrooms. Slice the mushroom caps into 10-12 slices each. Slice the asparagus spears into 3 pieces each. Place the warm vegetables in a bowl and toss to combine. Whisk the sauce again, breaking apart any thin skin that has formed on top. Pour the warm sauce over the vegetables. Sprinkle with toasted pine nuts and chopped parsley. Serve warm.