Put the endives in a saucepan with just enough water to cover. Add the lemon juice and the ½ teaspoon salt. Cover, bring to a boil, then reduce the heat to let simmer until the endives are tender, 20–25 minutes. Drain very well until cool enough to handle, gently squeeze out water before rolling in ham.
Preheat oven to 350°.
Melt the butter in a small saucepan over medium heat. Stir in the flour and cook, stirring constantly with a wooden spoon, for 1 minute. Add the milk gradually, stirring with a wire whisk. Cook, whisking to avoid getting any lumps, until the sauce is smooth and thickened. Let it simmer for 2–3 minutes longer (important getting rid of the pasty flavor of the flour). Remove from the heat and stir in ½ cup of cheese. Season to taste with salt, pepper and nutmeg.
Butter a glass or enameled baking dish large enough to hold the endives in a single layer. Wrap each cooked endive in 2 slices of ham (overlap slices of ham to roll) and place in the prepared dish. Bake at 350° for 15 minutes or less, then drain all the water out from the baking dish.
Pour the sauce over the endives and top with the remaining ½ cup of cheese. Bake 15 minutes, and then finish the dish for 5 minutes under the broiler to brown the cheese. Serve immediately. This is one dish that cannot sit around as the sauce will get watery.