Heat a wide heavy pan over medium heat. (Choose one that is also deep enough to hold all the pasta after it has been cooked.)
Melt the butter in the pan and add the finely chopped shallot. Saute until the shallot is fragrant and translucent, about 5 minutes.
Add the heavy whipping cream to the pan and grate over the nutmeg. Simmer this mixture until the cream becomes noticeably thicker, stirring occasionally. This typically takes about 5 to 10 minutes.
In the meantime, cook the tagliatelle in well salted water, per the package instructions. Reserve about a cup of the pasta cooking water before draining.
Once the cream has thickened, turn the heat down to low. Then add the gorgonzola dolce and the parmesan to the pan. Stir everything together to melt and to evenly incorporate the cheese into the cream mixture. Season to taste with salt and pepper.
After the cheese has been incorporated, add the hot pasta to the pan and stir well to coat with the sauce. (If the sauce appears to be too thick at this point, stir in a splash of the pasta cooking water.) Serve immediately.