If your scallops are frozen, thaw them by putting the package in cold water. They will thaw pretty quickly.
Heat your oven to 450 degrees.
Make sure to remove the beard or little muscle on each scallop if there is one. Read the post above to learn how.
In the meantime, heat up a skillet and cook the strips of bacon only part way done. You can do this in the oven too if you like.
To assemble, wrap a piece of bacon around each scallop and secure with a toothpick. Place on a parchment lined baking tray.
Drizzle with olive oil if desired and place in the hot oven for 3 - 4 mins and then flip them and cook for another 3 - 4 mins depending on the size of the scallop.
Remove from the oven and arrange on a serving platter with the sauce.
For the Sauce:
Heat Oil in a small pot. When its hot, throw in the Onions and sauté for a few minutes. Then add the Garlic and the Tomatoes. Cook these for a bit until the Tomatoes just melt into a sauce.
Add the Cajun Seasoning and the Cream Cheese and stir till the Cheese melts. Add 1/2 cup of the Chicken or Veg stock. Then add the Parmesan Cheese and stir till it melts. It might get stringy, but just keep cooking it. It will melt into the sauce.
Puree the sauce with a hand held blender or in your blender until its very smooth and put it back into the pot.
Add a bit more Stock until the sauce reaches your desired consistency. Salt and Pepper to taste and your good to go.