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; cover with foil. Bake at 375° for 20 minutes or until endive is tender when pierced with a fork, turning after 15 minutes.
Increase oven temperature to 400°.
Cook 1 3/4 cups milk in a heavy saucepan over medium-high heat to 180° or until tiny bubbles form around edge (do not boil). To make a slurry, weigh or lightly spoon flour into a dry measuring cup; 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; 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; sprinkle evenly with bacon. Pour sauce over endive; top with cheese. Bake at 400° for 20 minutes or until browned and bubbly.