Preheat the oven to 180°C. Line a loaf tin 20 x 10 x 6 cm with nonstick baking paper, then arrange the carrot and zucchini halves in an attractive pattern in the bottom of the tin.
Put the minced veal into a large bowl and add the bacon, breadcrumbs, chopped mushrooms, lemon rind, mace, cayenne, salt to taste and the egg. Mix together well and spoon the mixture carefully on top of the layer of vegetables in the loaf tin. Press down gently and smooth the top. Bake in the centre of the oven for 50 minutes to 1 hour, or until the point of a skewer inserted into the centre of the loaf is hot enough when removed to sting the back of your hand.
Remove the tin from the oven, pour the juices off carefully into a measuring jug and make up to 1 1/4 cups with milk. Run a knife round the sides of the loaf, place a serving dish over the tin and, holding the tin and dish together, reverse and bang on the work surface to drop the loaf out of the tin. Keep warm by covering with the tin while making the sauce.
Melt the butter in a saucepan and cook the sliced mushrooms for 2–3 minutes. Stir in the flour, cook for 1 minute, then gradually add the milk and cooking juice mixture. Bring to the boil, stirring continuously until thickened. Season the sauce to taste with salt and pepper, and simmer for 5 minutes.
Remove the tin and paper from the loaf and garnish with sage leaves. Serve the sauce from a heated sauceboat. The loaf can be made with lean minced pork if preferred.