Make the dressing: In a medium bowl, stir the mayonnaise, sour cream, milk, blue cheese, shallot, garlic, lemon juice, salt, and pepper. Cover and refrigerate for at least 3 hours to let the flavors develop. Before using, taste and adjust the seasonings if necessary. The dressing will thicken as it sits and may need to be thinned with more milk.

Prepare the salad: Once the dressing is chilled, heat a gas grill to medium low or prepare a medium-low charcoal fire. (Be sure the grate is hot, too.) Lightly brush olive oil all over the romaine hearts, taking care not to break the leaves. Sprinkle with salt and pepper. Put the lettuce cut side down on the grate, directly over the heat. Grill until the outer leaves are charred and wilted and the lettuce is warm and just barely tender all the way through to the core, 2 to 5 minutes, depending on the heat of your grill. Transfer the lettuce to a clean platter and let rest for 5 minutes.

To serve: Place half a heart of romaine, cut side up, on each plate, top with about 2 tablespoons of the blue cheese dressing, or more to taste, and sprinkle with the crumbled bacon. Serve immediately.