Combine the first 4 ingredients in a bowl. Beat at medium speed with mixer until blended; stir in pecans.
Line a lightly greased 4-cup fluted mold or a 7 3/8 x 3 5/8-inch loaf pans with plastic wrap, allowing edges to extend over the sides of pan.
Spread 1/3 of blue cheese mixture into mold and chill 1 hour.
Combine remaining 3 ounce package of cream cheese and milk, beating well. Add cheddar cheese and next 3 ingredients, mixing well. Spread over chilled blue cheese mixture in mold. Top with remaining 2/3 of blue cheese mixture, spreading.
Cover with plastic wrap and chill for 8 hours or up to 3 days.
Unmold onto a serving plate; remove plastic wrap and garnish.