Melt butter in large saucepan over low heat. Add flour; stir 3 minutes. Add milk, 1 cup water, and nutmeg. Increase heat to medium. Whisk constantly until sauce is thick and smooth, about 15 minutes. Season sauce with salt and pepper.
Heat oil in heavy large pot over medium-low heat. Add pancetta and fry until just beginning to crisp, about 2 minutes. Using slotted spoon, transfer pancetta to paper towels to drain. Increase heat to medium. Add onion and saute until tender, about 10 minutes. Add radicchio, cover, and cook until just beginning to wilt, about 1 minute. Uncover pot and saute radicchio until just wilted, about 5 minutes longer.
Meanwhile, cook noodles in pot of boiling salted water until softened but still very firm to bite, about 2 minutes. Drain.
Preheat oven to 375°F Generously butter 13x9x2-inch glass baking dish. Line bottom of baking dish with single layer of noodles. Spread 3/4 cup sauce over noodles. Scatter 2 cups radicchio over sauce. Sprinkle with 3 tablespoons Parmesan cheese. Repeat 3 more times with remaining noodles, sauce, radicchio, and cheese. (Can be made 6 hours ahead. Cover and refrigerate.).
Bake lasagna uncovered until heated through, about 20 minutes (or 35 minutes if refrigerated). Let lasagna stand 10 minutes before serving.