Heat 1 tablespoon neutral oil in a large pot over medium heat. Once hot, add the shallot and cook for 4-5 minutes until softened.
Add the corn and cook for 5–7 minutes. Season with salt and pepper.
Melt the butter into the corn and add the flour, paprika, and cayenne. Cook, stirring to coat the corn in the flour, for about 1–2 minutes.
Pour in the milk, stirring constantly as you pour, until the flour is incorporated and the sauce is smooth. Reduce heat and simmer for 15 minutes, stirring occasionally as it cooks to prevent sticking. Add more milk as needed if the liquid evaporates too quickly.
After 15 minutes, stir in the cream. Taste and season. If you like, use an immersion blender and blend half the mixture. Simmer for 5 minutes more. The sauce should be thick, and the corn should be creamy and tender.