Place beets in roasting pan or on baking sheet; drizzle with oil.
Bake 45 min. to 1 hour or until tender.
Remove from oven; cool 20 min.
Remove skins. Slice beets; cut slices into strips.
Meanwhile, bring vinegar and thyme to boil in small saucepan. Simmer on low heat 10 min. or until reduced to about 3 Tbsp. liquid, stirring occasionally. Strain and cool.
Arrange endive, oranges, shallots and beets on serving platter.
Drizzle with balsamic reduction; top with cheese and pepper.