To make the brioche, sprinkle the yeast and caster sugar on to the warm milk in a small bowl. Whisk together lightly and leave in a warm place for 10 minutes, or until a light foam forms on the surface.
Place the flour in a large mixing bowl and create a well in the centre. Pour in the yeast mixture and the eggs. Mix together with a wooden spoon until the mixture forms a ball.
Turn the dough out on to a lightly floured work surface and knead gently for 5 minutes until smooth. Gradually add the butter a bit at a time, kneading well between each addition. Knead until the dough is smooth and no longer sticky. Place in a bowl and cover with a tea towel. Leave to rise in a warm place for 1½ hours, or until well risen.
To make the filling, place the mince and game breasts in a large bowl. Add the sage, Madeira, port, allspice, thyme, and garlic and season with salt and pepper. Stir to combine thoroughly. Place the egg and egg yolk in a small bowl and lightly whisk.
Roll the brioche dough out into a rectangular shape and place the meat filling along one edge of the dough, leaving 5cm/2in between the meat and edges of the dough. Roll up the dough to enclose the meat and seal all the edges with the egg. Glaze the roll all over with the beaten egg mixture and sprinkle over the ground fennel seeds. Chill in the fridge for 30 minutes.
Preheat the oven to 200C/180C Fan/Gas 6.
Bake for 30 minutes, or until it is cooked in the middle and golden on the outside. Remove from the oven and leave to cool slightly.
Meanwhile, to make the celeriac purée, add the celeriac to a saucepan with the butter. Season with salt and pepper and pour in the milk. Simmer for 30 minutes, or until soft. Blitz to a purée, adding more milk if needed. Push through a sieve and keep warm until ready to serve.
To make the scallops, heat a large frying pan until very hot and drizzle the oil over the scallops. Sauté the scallops for about 90 seconds on each side, or until just cooked through. Remove and then add the sage leaves and butter to the pan and fry until crisp and the butter is nut brown. Add a squeeze of lemon juice and tip the sage mixture over the scallops.
Serve the sausage roll in slices, with the celeriac purée and scallops alongside.