Heat the olive oil in a large pot over medium heat. Add the onion, carrots, and celery and cook for 5 minutes until the vegetables begin to soften.
Stir in the mushrooms and garlic. Cook for another 4 minutes until the mushrooms release their liquid and start to brown.
Add the lentils, red wine, vegetable broth, tomato paste, thyme, bay leaf, salt, and black pepper. Bring the mixture to a boil, then reduce the heat and simmer uncovered for 25 minutes.
While the stew simmers, make the dumplings. In a bowl, whisk together the flour, baking powder, and salt. Stir in the cheddar cheese.
Pour in the milk and melted butter. Mix gently with a fork until a soft dough forms. Do not overmix.
Drop rounded spoonfuls of the dough onto the surface of the simmering stew. Cover the pot and cook for 12 minutes until the dumplings are puffed and cooked through.
Remove the bay leaf. Sprinkle the chopped parsley over the top before serving.