Heat the milk to a simmer in a small saucepan over medium-high heat.
While the milk is heating, melt 3 tablespoons of the butter in a medium saucepan over medium heat. Add the flour and cook, stirring, until foamy, about 3 minutes. Add the hot milk all at once while whisking. Stir the sauce until it is thick and bubbly. Remove from the heat and add the salt, nutmeg, black pepper, and sherry vinegar. Taste for seasoning and adjust if necessary. Let cool slightly before continuing.
Heat a medium skillet over medium heat and melt the remaining 2 tablespoons of butter. Remove the skillet from the heat and stir in the breadcrumbs to coat them evenly with the butter. Reserve.
Preheat the broiler and arrange an oven rack to the highest position.
Set out the shells (or ramekins) on a baking sheet. Arrange 2 scallops in each. Top each scallop with about 3 tablespoons of the sauce. Sprinkle some of the cheese over the sauce and top with a tablespoon or so of the buttered breadcrumbs. Broil the scallops for about 7 minutes. The sauce and cheese should be golden brown. The scallops should be tender and juicy, not overcooked. Carefully transfer the hot scallops in their shells (or ramekins) to a serving plate. Serve immediately.