Preheat oven to 450ºF.
In a small bowl, whisk the egg, mayonnaise, Dijon, Worcestershire, cayenne powder, and paprika. Season with salt and pepper.
In a large bowl, carefully combine the crab, parsley, and panko. Season with salt, pepper, cayenne, and Old Bay, if using, Add the breadcrumbs and fold in the mayonnaise mixture. Note: Do not over-combine the crab cakes. You want to see large pieces of the lump crab meat. You want to fold the ingredients together enough so that they can be formed into crab cakes but not so much that the crab loses its texture.
Form the crab cakes into palm-sized balls, do not press them into patties. Use both hands to compress the ingredients.
Transfer the crab cakes to a greased baking sheet and arrange the lemon rounds around the cakes.
Meanwhile, melt the butter and season with the cayenne powder.
Right before baking the crab cakes, drizzle or brush the butter over each crab cake. Transfer to the oven for 12-14 minutes.