In a medium, heavy-bottomed saucepan over low heat, melt the butter.
Whisk in the flour to form a smooth paste (a roux) and cook, stirring constantly, for 2-3 minutes until it smells nutty.
Gradually pour in the warm vegetable broth while whisking continuously to prevent any lumps from forming.
Continue to whisk until the sauce begins to smoothly thicken.
Stir in the hot paprika, sweet paprika, and a generous pinch of salt.
Reduce the heat to low and allow the sauce to simmer gently for about 20 minutes, stirring occasionally. The sauce should reduce slightly and thicken enough to coat the back of a spoon.
Remove the saucepan from the heat and stir in the heavy cream until fully incorporated.
Taste and adjust seasoning with more salt or paprika if desired.
Serve warm.