Preheat the oven to 425 degrees F. Pierce the potatoes with a fork, then microwave until easily pierced but slightly firm in the center, about12 minutes. Brush with olive oil and bake directly on the oven rack until tender with crisp skins, about 10 minutes. Keep warm.
Season the steak with salt and pepper and rub with 1 tablespoon olive oil. Mix the blue cheese, sour cream and herbs in a bowl.
Heat a cast-iron skillet over medium-high heat. Sprinkle the skillet with 1/2 teaspoon salt and drizzle lightly with olive oil, then add the steak and weigh it down with a heavy skillet; cook until browned, 4 minutes. Flip the steak, replace the top skillet and brown the other side, 3 minutes. Reduce the heat to low, remove the top skillet and cook 1 to 4 more minutes for medium rare. Transfer to a plate to rest.
Return the skillet to medium-high heat, add the shallot and port and boil until thickened, about 4 minutes. Stir in the broth and any juices from the steak and cook 5 minutes, then whisk in the butter. Split open the baked potatoes and top with the blue cheese mixture. Slice the steak; serve with the potatoes and sauce.