Using lid of Brie box as a guide, vertically cut a round, 19/4" in diameter and 11/4" deep, out of bread boule. Cut out crust round and scoop out bread to 2 3/4" depth, retaining the removed bread's shape as much as possible. Trim off the top rind from one Brie and place in bread, cut side up.Cut both top and bottom rinds off remaining Brie and set aside. Meanwhile, slice removed bread into sticks or cubes for serving.
Heat butter in a large nonstick skillet over medium-high heat. Add mushrooms and cok 5 minutes or until liquid has evaporated, stirring occasionally. Stir in sherry, thyme and nnutmeg; cook 30 seconds. Stir in chives; set a side cool 10 minutes. Spoon 1/4 cup of mushrooms and 3 tbsp. Roquefort in center of Brie in bread. Place remaining brie on top and press down.
Preheat oven to 400°F. Place bread boule on baking sheet. Bake 15 mintues. Spoon remaining mushrooms on top of Brie, and add breadsticks to baking sheet to toast. Bake 5 minutes until Brie is soft and bread is crusty. Let stand 20 minutes. Top with remaining Roquefort. Garnish with thyme and chives.Make ahead: Recipe can be prepared and refrigerated one day in advance up to and including Step 2.