Crowbar circuit and choice of the SCR
I don't understand what happen at the output of the R-785.0-0.5 when
  the CC happens. The datasheet says that it has short circuit
  protection, but what does that mean?


The clue is when it says: -


  Short Circuit Input Current (Vin = 24V) All Series 60mA


This means that if you short the output the internal circuits of the device prevent a current of greater than 60mA flowing into the device and this is usually called fold-back protection. Basically when the output is shorted the output current is rapidly reduced to below (say) 100mA.


  What is the maximal current which will go through the SCR when short
  circuited?


I estimate no more than 100mA but there is a doubt that it could be higher. It's a pity the data sheet doesn't explicitly state this.

Regards the SCR virtually any listed on page 6 of the ON semi data sheet would do and probably quite a few that are much smaller.