Slice the lamb fillets across at 2.5-4 cm/1-1½ in intervals. Sprinkle the sugar all over the pieces of lamb. Heat the oil in a large frying pan over a high heat. Add the lamb and stir around until well browned all over. Using a slotted spatula, transfer the lamb to a large casserole dish.
Cut the ends off the chicory and then slice in half lengthways. Peel the garlic and slice roughly. Cut the pepper in half, discard the seeds and stem and slice across as thinly as possible. Arrange the chicory, garlic and red pepper amongst the lamb in the casserole. Preheat the oven to 230°C/450°F/gas mark 8.
Put the flour into a saucepan, add a little of the milk and stir until smooth. Then gradually stir in the rest of the milk and the cream. Add the saffron and season with the cayenne pepper and salt. Bring to the boil, stirring all the time, and bubble, still stirring, for 2-3 minutes, until thickened. Then pour over the lamb and vegetables in the casserole dish. Cover and put in the centre of the oven. After 10-15 minutes, when the juices are simmering, turn the oven down to 150°C/300°F/gas mark 2. Cook for another 1¼-1½ hours, until the lamb is very tender. Before serving, stir the lemon juice into the casserole and check the seasoning.