Preheat the oven to 200°C.
Melt the butter for the sticky shallots in an oven proof pan, add the shallots. Cook for 5 minutes, turning to ensure an even browning. Mix together the honey, balsamic vinegar, salt and pepper and pour over. Cook for a couple of minutes, then transfer to the oven. Cook for 10-15 minutes until soft and sticky.
Time to make the bechamel. Melt the butter in a small saucepan over a low-medium heat, then toss in the shallot and bay leaf. Fry gently until the shallot is just soft, which should take about 5 minutes.
Sprinkle in the flour and stir in well, cooking it for 3-4 minutes. Next slowly pour in the milk, stirring all the time so there are no lumps. When it’s all smooth, simmer for a few minutes to thicken, then take it off the heat and stir in the mustard and nutmeg. Discard the bay leaf, and season with salt and pepper.
Line a baking tray with foil. Heat the grill, butter the bread on one side and toast it buttered-side up until golden.
Put 2 bread slices, toasted-side down, in the baking tray and spread all the untoasted sides of the bread with mustard. Spread some of the béchamel on the slices in the tray, then lay on the sticky balsamic shallots and sprinkle with some of the cheese.
Put another toast slice on top of each, mustard-side down, and spread on some more béchamel and cheese. Bake in the oven until golden brown and bubbling. Slice in half, diagonally, and serve.