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The moral of the story is, uber a soldier.
What happens if there's a second sentry...
Or there are three other people waiting around to frag you after your Soldier uses his four rockets to kill the engy and the sentry...
There's a time and a place to uber a Soldier, Demo, or HWG. It really depends on the distance of the sentry from your uber, and the number of sentries. Sometimes it's better to uber a Heavy to frag the enemy team and have your un-ubered Soldiers come in to kill the Sentries while they're targeting the HWG... And vice versa.
Engies are sometimes hard to get to as a Heavy, the Sentry has monstrous pushback and you can't really do much more than move in front of it and fire (the Engy, if he has any brains, will proceed to cower behind it). Sometimes the spray from Sasha will kill the Engy over time or a few in a lucky crit spasms... But the main objective is to turn those Sentries to scrap giving the rest of your team leeway to bring the pain. If you can shoot him, then for the love of god shoot him. Otherwise, blast away.