Will mustard seeds soften in a sauce?
They will not "melt" into the sauce, but I think your desired effect depends on how long they cook in the sauce.  I frequently make "pickled" mustard seeds, which result in a softer seed that pops in your mouth, rather than remaining crunchy. A great garnish or condiment. Not crunchy at all.   There are two ways to do this: 1.  bring to a boil, then strain, repeatedly 8 - 10 times.  This removes the tannic notes, then the seeds are placed in pickling brine.  Method 2 brings seeds to a boil in pickling liquid and simmers them for 30 - 40 minutes.   Method 3 makes use of a pressure cooker.  All result in mustard seeds that are not crunchy, but soft and pleasant to eat.  You could certainly obtain the same result in a sauce.  In fact, I could see it adding an interesting textural component to the dish.