Go with the paprika, not the nutmeg, and maybe give a nod to Chef John with a pinch of cayenne. When making a roux with vegetables cooked before-hand like onions, shallots, or mushrooms, it's important to make sure that all of the water is cooked out before you add the flour. Failing to cook out all of the water will result in a clumpy and possibly burned roux because the flour will bind to any available water, clump up, and stick to the bottom of the pan. It won't be nice. Best to keep the heat low so nothing burns and cook it out until the veggies are devoid of any moisture but butter fat. You're adding the broccoli and carrots after you have already made the soubise sauce, created the emulsion, so the water in the vegetables then is fine.
