Place water in a large saucepan. Bring to a boil. Reduce heat; add scallops and poach, uncovered, 6 minutes or until firm and opaque. Drain scallops, reserving 1 cup liquid.
Sprinkle scallops with salt. In a large skillet, saute mushrooms and shallots in butter until tender. Add scallops; cook 2 minutes longer. Remove from heat and set aside.
For sauce, in a small saucepan, melt butter. Stir in flour until smooth; gradually add milk and reserved poaching liquid. Bring to a boil; cook and stir 2 minutes or until thickened. Stir in cheese, sherry, salt, lemon juice, pepper and lemon zest; add to skillet.
Preheat oven to 375°. Divide scallop mixture among eight scallop shells. Combine bread crumbs and melted butter; sprinkle over tops. Place on an ungreased 15x10x1-in. baking pan. Bake 8-12 minutes or until crumbs are golden brown.