Blend butter, parsley, sage, garlic and lemon peel in small bowl. Spread evenly over scallops. Top with proscuitto and cheese slices, cut to fit scallops. Starting at short ends, roll each up. Tie with string and thread lengthwise onto 9-10" skewer. Refrigerate at least 3 hours or overnight. Preheat broiler. Brush rolls with olive oil. Broil, basting frequently with pan juices, until golden brown, 8-10 minutes. Remove skewers and strings. Arrange on platters, and garnish with mint sprigs and lemon slices. Serve with mayonnaise mixed with Dijon mustard and one clove finely minced garlic, flavored with a little dry Marsala.
Turkey breasts scallops can be substituted very nicely for the veal.