To make the sauce, pour the milk into a heavy-based pan. Add the onion, bay leaf, nutmeg and pepper. Bring to the boil, remove from the heat, cover and set aside to cool.
Meanwhile, in a frying pan over medium-high heat, cook the chicken until white and crumbly. Set aside to cool slightly.
Place the diced red capsicum, leek and frozen peas in a heatproof bowl, pour in enough boiling water to cover them and leave for 30 seconds. Drain the vegetables well.
Beat the ricotta, mascarpone and egg together, then mix in the chicken, the drained vegetables, herbs and pepper.
Using a slotted spoon, remove and discard the flavourings from the cool milk. Whisking constantly, sprinkle the flour into the milk. When incorporated, return the pan to medium heat and bring the sauce to the boil, whisking. Reduce the heat and simmer gently, whisking frequently, for about 3 minutes.
Preheat the oven to 200 degrees C. Spread a layer of sauce on the bottom of a 30 cm square ovenproof dish. Use a teaspoon and your finger to fill the cannelloni with the chicken mixture. Arrange in a single layer on the sauce in the dish. Spoon the remaining sauce over. For the topping, mix together the breadcrumbs and Parmesan and sprinkle over the cannelloni. Bake for 35–40 minutes or until the topping is golden and the sauce bubbling. Leave to stand for 10 minutes before serving.