4 ounces Maytag blue cheese, crumbled into 1/2-inch chunks (1 cup)
Preheat the oven to 350°. Spread the tomatoes and shallots on separate rimmed baking sheets. Add 1/2 cup of the wine, 2 tablespoons of the oil and 2 thyme sprigs to the tomatoes. Add the remaining 1 1/2 tablespoons of olive oil and 2 thyme sprigs to the shallots. Season the tomatoes and shallots with salt and pepper, toss well and spread in even layers. Bake for about 40 minutes, until the tomatoes and shallots are very tender. Discard the thyme.
Increase the oven temperature to 425°. Season the tenderloin with salt and pepper. In a large ovenproof skillet, heat the vegetable oil until shimmering. Add the tenderloin and cook over high heat until browned, 4 minutes. Turn the tenderloin and cook for 3 minutes. Transfer the skillet to the oven and roast for 10 minutes. Turn the tenderloin and roast for 10 minutes longer, until an instant-read thermometer inserted in the thickest part of the meat registers 125° for medium-rare. Transfer the tenderloin to a carving board and let rest for 10 minutes.
Pour off the fat in the skillet. Add the remaining 1/2 cup of wine and boil until reduced by half, scraping up the browned bits, 3 minutes. Remove the skillet from the heat and stir in the tomatoes, shallots and their juices.
Slice the beef 1/3 inch thick and transfer to plates; spoon the tomatoes, shallots and sauce on top. Dot with the cheese and serve.