Preheat oven to 450°. Pat steaks dry with paper towels. Sprinkle and rub both sides of steaks with coffee rub; let stand at room temperature for 25 minutes.

Place potatoes and Brussels sprouts in large bowl. Drizzle with 2 tablespoons olive oil; sprinkle with 1 tablespoon thyme, ½ teaspoon salt, and ¼ teaspoon pepper. Toss to coat. Arrange in a single layer in large rimmed baking pan. Roast for 12 minutes.

Toss mushrooms with 2 tablespoons melted butter, 1 tablespoon thyme, ½ teaspoon salt, and ¼ teaspoon pepper. Scatter mushrooms on top of vegetables in baking pan. Roast 7 to 9 minutes or until mushrooms are slightly brown. Transfer vegetables to a bowl; cover to keep warm. Preheat broiler to HIGH.

Stir together remaining 3 tablespoons melted butter, shallot, parsley, remaining ½ tablespoon thyme, garlic, remaining ½ teaspoon salt, and remaining 1/8 teaspoon pepper in small bowl.

Remove steaks in the rimmed baking pan. Broil 4 inches from heat for 10 to 14 minutes or until steaks reach 130° for medium-rare doneness, turning steaks over halfway through and adding vegetables during the last 30 to 60 seconds. Remove from broiler; spoon butter mixture onto hot steaks. Loosely cover and let stand for 5 minutes before serving.