Cut each oyster into 2 to 4 pieces, depending on size. Set in a bowl with any liquid from the tubs they were in. Refrigerate until needed.
Melt the butter in a pot set over medium heat. Add the leeks and cook until softened, about 4 minutes. Mix in flour and cook 2 minutes more. While stirring, slowly pour in the milk and cream. Mix in the cayenne and paprika. Bring to a simmer, and simmer 2 minutes.
Add the oysters, return to a gentle (do not boil!) simmer, and simmer 2 to 3 minutes, just until the oysters are cooked and start to curl at the edges. Taste the stew and season with salt, if needed. Ladle the stew into bowls, sprinkle with chopped parsley, and serve.