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Preheat your oven to fan 180C/conventional 200C/gas 6. Trim away the stalk ends of the chicory, discard any limp or tired outer leaves, then cut the vegetable lengthways into quarters. Pour the oil over the bottom of a large shallow baking dish and arrange the sections of chicory, cut-side up, in a single layer. Pour over the wine, stock or water and cover with foil. Bake for 10 minutes while you prepare the rest of the ingredients.
Slice the chicken into strips 1cm thick. Season lightly with salt and pepper. Melt the butter in a large frying pan until foaming, add sliced chicken and cook for 4-5 minutes or until the chicken is just turning golden brown. Stir in the shallot and garlic and cook for 1 minute. Remove the dish from the oven and add the chicken mixture to the chicory. Replace the foil and set the dish aside while you make the sauce.
Melt the butter for the sauce in the frying pan (no need to wash it) then stir in the flour. Gradually pour in the milk, stirring all the time until the mixture thickens. Remove from the heat and stir in the crème fraîche or soured cream and sage with 2 tsp each of both mustards. Taste and add extra mustard plus salt and pepper if you think they’re needed.
Pour the sauce over the chicory and chicken and sprinkle cheese on top. Bake, uncovered, for a further 25-30 minutes until the sauce is bubbling and the top is golden.