Lightly oil a 13 x 9-inch or similar-sized baking dish with 1 tablespoon of oil.
COOK THE CHICKEN: Preheat oven to 350 degrees. Drizzle chicken breasts with the remaining tablespoon of oil and season with salt and black pepper. Bake for approximately 22-25 minutes or until no longer pink (165 degrees in the center). Let cool slightly, then, cut into 1/2-inch to 3/4-inch pieces. Keep the oven at 350 degrees.
BLANCH THE ASPARAGUS: While the chicken is baking, prepare an ice bath. Bring a saucepan full of generously salted water to a boil. Working in 2-3 batches, blanch the asparagus in the boiling water for 30-45 seconds or until it turns bright green. Transfer to the ice bath. Repeat until all the asparagus is blanched.
Remove the asparagus from the ice bath and blot dry with paper towels or a clean kitchen towel. Cut the asparagus into 3 pieces and transfer to the prepared baking dish. Season the asparagus with salt and black pepper to taste.
MAKE THE SAUCE: Melt the butter over medium heat in the saucepan you used to blanch the asparagus. Add the flour and cook, whisking constantly for 1-2 minutes (do not let the flour brown).
Add the sherry or wine, stirring until you have a thick paste. Slowly add the half-and-half, whisking constantly until smooth. Bring to a boil, reduce heat to low, and simmer until it is thickened, approximately 2-3 minutes.
Stir the cheese into the sauce a handful at a time, whisking constantly until melted and smooth. Remove from the heat and add white pepper and nutmeg. Stir in the chicken.
ASSEMBLY: Pour the cheese sauce and chicken combination over the asparagus. Smooth the top. Cover loosely with aluminum foil.
Bake for 30-35 minutes or until heated through and starting to bubble around the sides. Uncover and sprinkle with the almonds and return to the oven for 5 more minutes (uncovered).
Sprinkle with chopped fresh parsley. Serve immediately.