Heat oven to 350 degrees F.
Place Brussels sprouts in saucepan with enough water to cover. Add juice. Simmer, uncovered, 8 to 10 minutes, until tender. Drain.
Meanwhile, melt butter in small saucepan. Stir in flour; cook 1 to 2 minutes. Gradually whisk in milk; cook, whisking, until sauce thickens, about 2 minutes. Stir in cheese, salt, pepper, nutmeg and cayenne.
Transfer Brussels sprouts to a 1-quart casserole. Pour sauce over top. Bake in for 20 minutes or until heated through.