As they're exposed to light and begin to age, the endive leaves curl and turn bitter, so be sure to choose plump, white, firm heads and store them in a dark, cool place.
Preheat oven to 375°F.
Sprinkle endive evenly with sugar, 1/4 teaspoon salt, and 1/4 teaspoon pepper. Arrange endive halves, cut side down, on a foil-lined baking sheet and cover with foil. Bake at 375F for 20 minutes or until endive is tender when pierced with a fork, turning after 15 minutes.
Increase oven temperature to 400°F.
Cook 1 3/4 cups milk in a heavy saucepan over medium-high heat to 180F or until tiny bubbles form around edge (do not boil). To make a slurry, weigh or lightly spoon flour into a dry measuring cup and level with a knife. Stir flour into remaining 1/4 cup milk, whisking until well blended. Stir slurry, remaining 1/4 teaspoon salt, and remaining 1/4 teaspoon pepper into hot milk. Bring to a boil, stirring constantly with a whisk. Reduce heat to medium, and simmer 2 minutes or until sauce thickens. Remove from heat then add butter and nutmeg, stirring until blended. Taste and adjust seasoning, if desired.
Arrange endive in a 13 x 9 inch shallow casserole dish coated with cooking spray and sprinkled evenly with bacon. Pour sauce over endive and top with cheese. Bake at 400F for 20 minutes or until browned and bubbly.