Heat oven to 425°F. Peel onion; cut and discard root end. Leaving bottom intact, cut almost through onion from top down to form 16 wedges. Place on 12x12-inch square sheet of foil. Bring foil up around onion; crimp edges to seal. Place in 9-inch pie pan. Bake at 425°F. for 20 minutes.
Meanwhile, in small bowl, combine margarine and mustard; mix well.
Remove onion from oven. Open foil; fold down to make 1-inch high rim around onion. Brush margarine mixture over onion. Sprinkle with bread crumbs.
Return to oven; bake an additional 15 to 20 minutes or until crisp-tender.
Meanwhile, in small bowl, combine all sauce ingredients; blend well. Refrigerate until serving time. Place baked onion on serving plate. Serve with sauce.