Preheat the oven to 160°C. In a shallow baking dish large enough to accommodate all of the beetroots, place the golden and red beets and the garlic head halves. Ad the thyme, drizzle with 2 tablespoons of the olive oil and season with salt and pepper. Add enough water to reach 1/4 inch up the sides of the pan. Cover the pan snugly with foil and roast until the beetroots are tender--a sharp knife will slide through to the center of each beet with little resistance when done--1 to 1 1/2 hours.
Remove the foil and allow the beetroots to cool only slightly, until you can handle them with a towel. Trim the root and stem ends from each beetroot and peel them using the towel to rub the skins off.
Cut each beetroot into wedges. In a large bowl, combine the honey, balsamic, orange zest and juice, shallots, minced garlic and a pinch of salt and whisk to incorporate.
Check for seasoning and add more salt if needed. Whisk in the remaining 1/4 cup extra-virgin olive oil. Add the beetroots and walnuts to the bowl, tossing gently to coat with the vinaigrette. Taste again for seasoning and adjust if needed. Add the watercress and gently toss to combine. Crumble the cheese into the salad. Finish with a few grinds of pepper if desired.