Place chicken between 2 sheets of heavy-duty plastic wrap, and flatten to 1/4-inch thickness. Sprinkle chicken with pepper.
Combine mascarpone cheese and next 3 ingredients in a medium bowl; beat at medium speed of an electric mixer. Place 1 slice prosciutto on each chicken breast half; spread cheese mixture evenly over prosciutto. Roll up chicken, jellyroll fashion, starting at short end.
Combine breadcrumbs and Parmesan cheese; stir well. Dip each chicken roll in milk; dredge in breadcrumb mixture. Place in a lightly greased 13- x 9- x 2-inch baking dish. Combine melted margarine and lemon juice; drizzle over chicken rolls. Sprinkle evenly with paprika. Bake, uncovered, at 350° for 30 to 35 minutes or until lightly browned.