Preheat oven to 375°. Trim any beet greens (save for another use) and wash beets. Put beets in a baking pan and drizzle with 1 tbsp. oil. Cover with foil and bake until tender, about 1 hour. Let cool until cool enough to handle, then peel and cut into 1/2-in. wedges.
Meanwhile, spread walnuts on a baking sheet and toast on another rack of oven until golden, about 8 minutes. Let cool, then chop coarsely and set aside.
Bring wine and broth to a simmer. Meanwhile, heat remaining 3 tbsp. olive oil in a wide, heavy-bottomed pot over medium heat. Add onion and cook, stirring often, until translucent, about 7 minutes.
Stir in rice and cook until just beginning to stick to bottom of pan, 2 to 4 minutes. Add 1 cup wine mixture and cook, stirring, until liquid is almost absorbed. Add another 1/2 cup wine mixture and cook the same way. Continue adding wine mixture 1/2 cup at a time, cooking and stirring until each addition has been absorbed before adding the next, until all of it has been used and rice is almost tender to the bite, about 20 minutes. (Use hot water if you run out of wine.)
Remove pan from heat and add butter, nutmeg, 1/2 cup cheese, and the beets. Stir quickly, cover, and let sit 4 to 5 minutes.
Stir in salt and pepper to taste and transfer to a large, shallow serving bowl or platter. Sprinkle with remaining 1/2 cup cheese and the toasted walnuts.
*Arborio rice is widely available; for the other two, check specialty grocery stores.
Make ahead: Up to 1 day. Heat only 1 cup wine with the broth in step Cook rice through step 4, but do not add any hot water (rice will still be quite crunchy). Spread rice on a rimmed baking sheet. Cover and chill. Fifteen minutes before serving, bring remaining 1 cup wine to a simmer and warm the chilled risotto in a large pot over medium heat. Add 1/2 cup hot wine at a time to risotto and cook, stirring, letting each addition be absorbed before adding the next, until rice is almost tender to the bite, 8 to 10 minutes (use hot water if you run out of wine). Continue with recipe from step
Note: Nutritional analysis is per serving.