To Make Roux: Melt butter, then blend in flour, salt, and cayenne pepper. Add milk all at once. Cook over medium heat until mixture thickens and bubbles. Remove from heat. Add cheese, and stir until melted.
Beat egg yolks in a separate bowl until thick and lemon colored. Slowly add to cheese mixture, stirring constantly. Reserve, cover and keep warm,.
Sauté mushrooms, red peppers, and broccoli or asparagus tips in olive oil, and reserve.
Beat egg whites to stiff peaks.
In a mixing bowl, add 2 cups roux to vegetables and fold in egg whites.
Pour into an ungreased souffle dish.
Bake in a hot water bath for 15-20 minutes or until "top hat" is slightly brown.
Sprinkle with confectioners' sugar and serve immediately.