TIP: Creating a two-zone fire lets you sear the meat over direct heat and then finish cooking it over indirect to a beautiful medium-rare. Beginner's: As you grill, keep the lid closed to maintain the temperature.
Bring meat to room temperature, 1 to 1-1/2 hours. Meanwhile, make filling: Toast bread crumbs in a small frying pan over medium heat until deep golden brown, stirring, 4 to 5 minutes; let cool.
Set aside 2 tbsp. gorgonzola and 1 tbsp. parsley and chill. Combine bread crumbs, remaining cheese, 3 tbsp. parsley, 1 tbsp. chives, and 1 tsp. thyme in a bowl until well blended. Chill until cold, 1 hour.
Heat a grill to medium (350° to 450°) with a burner turned off (for gas) or coals pushed to sides of firegrate (for charcoal) to make an indirect-heat area. Cut a lengthwise slit down center of meat to within 1 in. of underside and 1/2 in. from ends, forming two sections. In each section, center a slit parallel to first, with the same depth and length. Densely pack the three slits with filling. Press cut sides together.
Lay meat cut side up. Wrap in bacon, overlapping ends under roast if bacon is long enough. Tie roast crosswise with kitchen twine at 1-in. intervals.
Grill beef, covered, over direct heat until lightly browned, turning as needed (watch carefully), 10 to 15 minutes. Move meat to indirect heat and cook, covered, until an instant-read thermometer inserted into thickest part of meat (not filling) reaches 135°, 25 to 35 minutes. Transfer to a platter, tent with foil, and let rest in a warm place 20 minutes.
Meanwhile, bring port and shallot to a boil in a medium saucepan over high heat. Reduce heat to medium and simmer until reduced to 1 cup, 20 to 30 minutes. Strain; discard shallot. Melt butter in a small saucepan over medium heat. Add flour and cook 2 minutes, stirring. Add port and bring to a simmer. Stir in remaining 1 tbsp. parsley, 1/2 tbsp. chives, and 1/2 tsp. thyme. Season to taste with salt and pepper.
Untie beef. Cut in 1-in. slices and arrange on a platter. Top with reserved gorgonzola and parsley. Pour some sauce around meat and serve remaining on the side.
(Photo by Annabelle Breakey)