In a large bowl, whisk together flour, baking powder, salt, nutmeg, and cayenne. Toss in butter. Cover bowl and place in the freezer for 5-8 minutes until ingredients are cold.
Preheat oven to 400°F. Line baking sheet with parchment paper or silicone baking mat. Set aside.
Using a pastry blender (or two forks), cut chilled butter into cold dry ingredients until mixture resembles crumbly, coarse sand. Add cheese chunks. Toss to combine. Pour in milk. Using a sturdy spatula, fold mixture together until dough forms into a "shaggy mess."
Dump mixture onto a lightly floured work surface. Gently knead mixture together until dough is a cohesive mass. Pat dough to a rectangle about ½-inch thick. Use a 2 ¼-inch biscuit cutter to punch rounds. Alternatively, use a knife to slice into squares.
Arrange biscuits on prepared baking sheet, spacing them about 2-inches apart. Lightly brush tops of biscuits with heavy cream. If desired, top with additional shredded cheese. Bake for 25-28 minutes biscuits have risen and are golden in color. Transfer to a wire rack and let cool slightly. Serve immediately, warm or at room temperature.