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First make the stock for the sauce: place a large saucepan over a medium-high heat. When it is hot, melt the butter with the sunflower oil. Add the grouse legs and brown in the pan for 4-5 mins, turning regularly. Add the shallot, bay leaf, thyme and whisky, and reduce the heat. Allow any liquid to evaporate, then add the chicken stock. Press the legs down in the stock so that they are all covered. Reduce the heat to a bare simmer and cook gently for 1 hr.
Discard the legs. Strain the stock into a clean pan and reduce, over a medium heat, until you have about 300ml. Allow this to cool, then cover and chill if not using immediately. Can be done a day ahead up to this stage. You can finish the sauce once the grouse are cooked.
Clean the grouse: remove any remaining feathers, and rinse the birds inside and out with cold water. Pat them dry with kitchen paper. Divide the butter between the cavities of the birds, and add to each a thyme sprig and some chopped shallot. Season the birds inside and out, and wrap a slice of pancetta over the top of each bird. The birds are now ready to cook, but can be chilled for several hours if necessary – allow them to come to room temperature before you cook them (this will take 1 hr or so).
Heat oven to 220C/200C fan/gas 7. Place the grouse in a roomy roasting tin and the buttered slices of bread on a baking tray – they will toast at the same time as the grouse cook. To cook the grouse to medium, put in the oven for 18-20 mins. Keep an eye on the toasts and remove them when they are golden brown. The grouse are cooked when the breasts feel firm to the touch. If you have a cooking thermometer, cook them so that the thickest part of the breast, just above the wing, registers 55C.
Remove the birds from the oven. Place each on a piece of the buttered toast to absorb any juices that drain from the birds. Cover loosely with a piece of foil and leave to rest for 10 mins while you finish the sauce.
Put the roasting tin on the heat and, when it is warm, add the grouse stock. Let it simmer, scraping the juices from the bottom so that they dissolve in the stock. Add the redcurrant jelly, blackcurrants, beetroot, and finally the cassis. Simmer the sauce for 3-4 mins, then remove from the heat and season to taste. Serve the grouse on heated plates with a little sauce drizzled around, and some buttered spinach, if you like.