Just about any wood is OK for scrolling. You have to weigh all the factors; type of pattern, ease of cutting, appearance, cost, availability, etc and determine what suits you and the project.
Like Dan said, pine is OK for when you are first learning & practicing, but has its limitations if you want to get into more detailed fretwork. It just doesn't have the cross grain strength of hard wood or plywood. As you already discovered with the project you posted, it's deflating to put a lot of effort into a piece, only to have a fragile piece break off. CA glue is your friend, by the way.
Some woods are better suited for certain types of projects. Plywood (most generally prefer Baltic Birch) is ideal for some things, but I wouldn't use it for everything. I love cutting walnut and cherry hardwood. It's readily available around here, but I wouldn't use either of them for a portrait type cutting. I think the wood should compliment the final result. There are compromises that can be readily made along the way, but ultimately, you want the project to look good. What type of wood you use can have almost as much to do with that as how well it is cut.