Preheat oven to 425 degrees. Lay 1 phyllo sheet on a clean work surface. Brush with melted butter; sprinkle with 1 tablespoon parsley. Top with another phyllo sheet.
Season salmon fillets with salt and pepper. Place one fillet 3 inches from short end of dough; spread 1 teaspoon creamed horseradish on top.
Make salmon packet: Carefully fold the end of the dough over one fillet; gently fold in both of the long sides of the dough. Roll salmon over folded sides to form packet. Repeat process, making four packets. Brush tops and sides of packets with egg.
Place packets on a baking sheet; bake until golden brown, about 10 minutes. Serve hot.