Combine scallops and cold water to cover in a large saucepan. Let stand 1 hour. Drain and rinse scallops. Return to saucepan; cover with water. Bring to a boil. Reduce heat; cover and simmer 5 minutes. Drain; sprinkle with 1/2 teaspoon salt. Cover and set aside.
Sauté mushrooms and onion in 2 tablespoons butter until tender. Stir in scallops. Cover and set aside.
Melt 2 tablespoons butter in a heavy saucepan over low heat; add flour, stirring until smooth. Cook 1 minute, stirring constantly. Gradually add milk; cook over medium heat, stirring constantly, until mixture is thickened and bubbly. Stir in cheese, sherry, lemon rind and juice, remaining salt, and pepper. Cook sauce 1 minute.
Add 1 cup sauce to scallop mixture. Spoon scallop mixture evenly into 4 scallop shells. Spoon remaining sauce evenly over scallop mixture.
Combine breadcrumbs and melted butter; sprinkle evenly over scallop mixture. Bake at 375° for 20 minutes or until lightly browned. Garnish with parsley and lemon wedges.