Rub beef with 2 tablespoons olive oil and next 3 ingredients.
Preheat oven to 400°. Heat remaining 2 tablespoons olive oil in a large skillet over high heat. Sear filet 3 minutes on each side or until well browned. Place filet on a rimmed baking sheet, and roast at 400° for 30 to 35 minutes or until meat thermometer inserted into thickest portion registers 145°. Place on a cutting board; loosely cover filet with foil. Let rest 10 minutes; slice 1/2 inch thick. Top each with Stilton, and serve warm or at room temperature with Crispy Roasted Shallots. Garnish, if desired.