Steam carrots, covered, 2 minutes. Add zucchini, and steam, covered, 2 minutes or until vegetables are tender. Set vegetables aside.
Pat scallops dry with paper towels, and set aside.
Place flour in a large saucepan. Gradually add milk, stirring with a whisk until blended. Place over medium heat; cook 5 minutes or until thick, stirring constantly. Add scallops; cover and cook 5 minutes or until scallops are done, stirring occasionally. Stir in carrot, zucchini, sherry, salt, and pepper; cook 2 minutes, uncovered, or until thoroughly heated.
Spoon mixture into a 2-quart shallow baking dish coated with cooking spray. Combine breadcrumbs, cheese, and margarine; stir well. Sprinkle over scallop mixture. Broil 2 minutes or until golden. Serve over rice.