Cut tenderloin in half crosswise; sprinkle both pieces evenly with 2 1/2 teaspoons pepper and salt.
Combine 1/4 cup parsley, rosemary, and 3 tablespoons thyme; rub over beef. Fold narrow end of tenderloin under to achieve a uniform thickness.
Wrap bacon around tenderloin pieces, and secure at 1" intervals with heavy string.
Heat a 12" nonstick skillet over medium-high heat; add beef in 2 batches. Cook 8 to 10 minutes, turning often to brown all sides.
Remove beef from pan, reserving 2 tablespoons drippings in skillet.
Place beef on a rack in a large roasting pan.
Bake at 400 for 40 to 50 minutes or until a meat thermometer inserted into thickest part of tenderloin registers 140 (rare) to 160 (medium) or to desired degree of doneness.
Remove tenderloin to a serving platter, and cover with aluminum foil; let stand 10 minutes before slicing.
Remove string.
Meanwhile, heat reserved pan drippings in same skillet over medium-high heat; add shallots, mushrooms, and remaining 1 tablespoon thyme. Cook 3 minutes; add Madeira, stirring to loosen particles from bottom of pan.
Add beef broth and consomm; bring to a boil. Boil 10 to 12 minutes or until reduced to about 3 cups.
Remove from heat; add remaining 1/2 teaspoon pepper, remaining 1/4 cup parsley, and butter, whisking until butter melts.
Slice tenderloin into 1/2"-thick slices; arrange on a serving platter.
Garnish, if desired.
Serve with Madeira sauce.
Make Ahead: Cover and refrigerate uncooked bacon-wrapped tenderloins up to 24 hours.
Let stand at room temperature 30 minutes before proceeding with the recipe.
