Preheat oven to 350 degrees. Line a baking sheet with parchment paper.
Mix all the meatball ingredients (except the mozzarella) together in a large bowl. Divide meat mixture into 16 portions. Place 1 (or 2 if they are small) mozzarella cube in the center of each meat portion and gently shape into ball. Bake for about 30 minutes, or until they are no longer pink in the middle.
Meanwhile, make the sauce. Melt the butter in a large skillet over medium heat. Add the flour and stir well, until smooth. Add the vegetable broth and turn the heat up a bit, bringing to a boil. Simmer, stirring constantly, until slightly thickened. Gradually stir in Worcestershire sauce, honey and mustard. Turn the heat down to medium and pour the heavy cream into the sauce. Stir and cook for another 1-2 minutes. Season with salt and pepper, to taste.
Serve meatballs with the sauce spooned over the top, and garnish with fresh parsley.