Rinse scallops in cold water; drain well. Set aside.
Sauté mushrooms in 1/4 cup oil in a skillet until tender. Remove mushrooms; set aside. Reserve drippings in skillet.
Combine milk and cornstarch, stirring well to remove lumps. Stir milk mixture and remaining oil into drippings in skillet. Add mustard, Worcestershire sauce, salt, and pepper. Cook over medium heat, stirring constantly, until thickened and bubbly. Stir in scallops, sautéed mushrooms, and sherry.
Pour mixture into a greased 1 1/2-quart casserole. Sprinkle with breadcrumbs and cheese. Bake at 375° for 25 minutes or until lightly browned.