Peel and devein shrimp; set aside.
Snap off tough ends of asparagus. Remove scales from stalks with a knife or vegetable peeler, if desired. Cut asparagus into 1-inch pieces.
Coat a large saucepan with cooking spray; add margarine. Place over medium-high heat until margarine melts. Add asparagus, mushrooms, and green onions; saute 3 to 4 minutes or until asparagus is crisp-tender. Add shrimp; saute 2 to 3 minutes or until shrimp turn pink.
Combine flour and 1/4 cup milk, stirring until smooth. Combine flour mixture, remaining milk, sherry, and next 3 ingredients; stir until smooth. Add to saucepan; cook over medium heat, stirring constantly, until thickened and bubbly. Add cheese, and stir until cheese melts. Remove from heat, and stir in chicken.
Spoon rice into a 13- x 9- x 2-inch baking dish coated with cooking spray. Pour shrimp mixture over rice; sprinkle with paprika, if desired. Cover loosely with aluminum foil, and bake at 350° for 30 to 35 minutes or until bubbly. Serve immediately.