Make deep 1-inch-long cut with knife parallel to cutting board inside of each chicken breast half to form pocket. Season, if desired, with salt and pepper. Evenly stuff pockets with caponata, then press edges together to seal. Beat eggs with water in small bowl. Dip chicken in flour, then egg mixture, then bread crumbs.
Heat oil in 12-inch nonstick skillet over medium-high heat and cook chicken, turning once, 8 minutes or until chicken is thoroughly cooked; set aside.
Evenly spread 1 cup Sauce in 13 x 9-inch baking dish, then add chicken. Evenly top chicken with Sauce, then prosciutto and cheese. Bake 15 minutes or until cheese is melted and sauce is bubbling.