Dip the cheeses in the beaten egg and then coat evenly with the breadcrumbs. Cover and chill while you prepare the onion marmalade.
Heat the olive oil in a small saucepan, add the onions and cook for 2 minutes. Stir in the wine, vinegar and sugar, then cook for 5 minutes or until the onions are translucent. Remove with a slotted spoon and set aside, reserving the juices in the pan.
Heat the vegetable oil in a nonstick frying pan to 180–190°C (350–375°F) or until a cube of bread browns in 30 seconds. (Take care not to overfill the frying pan. If necessary, use a saucepan or deep frying pan.) Add the goats' cheeses and cook for 2 minutes or until golden. Remove with a slotted spoon and drain well on kitchen paper.
Divide the rocket between 4 plates and drizzle the olive oil and reserved juices from the onions over the top. Season to taste with salt and pepper. Place the goats' cheeses on the rocket and top with the onion marmalade. Serve immediately.