Preheat the oven to 400 degrees F.
Season the potatoes with the oil, salt, and pepper. Place on a baking sheet and bake until tender, about 1 to 1 1/2 hours. Remove from the oven and cool completely. Peel the potatoes, discarding the skin, and place in a bowl. Using a ricer, press the baked potato pulp through the ricer, using a medium die, until the potato pulp is smooth and airy. Season with salt and pepper. Add the egg and 1/4 cup plus 2 tablespoons of the flour. Sprinkle the remaining 1/4 cup flour on a baking sheet, lined with parchment paper. Turn the dough onto the floured surface and roll into a log, about 1-inch thick. Cut the dough into 1-inch pieces. Roll each piece across the tines of a fork.
In a large saucepan, combine the milk, water, 1 teaspoon olive oil, salt, and pepper. Bring the liquid just to a boil. Add the gnocchi and poach for 5 minutes. Remove the gnocchi with a slotted spoon and drain. Place the cream in a saucepan over medium heat. Bring to a simmer. Whisk in 3/4 of the cheese and season with salt and pepper. Cook, over low heat, until the cheese is melted and the sauce is smooth. Toss the gnocchi with the cream sauce. Spoon onto a large serving platter. Crumble the remaining Gorgonzola over the gnocchi and garnish with a twist of freshly ground black pepper.