Preheat the oven to 450°F. Combine the oils in a large heavy skillet and heat to a very high temperature; the oils should be almost smoking. Add the fillet and brown well on all sides. Remove the fillet from the skillet and place on a baking sheet. Roast the meat in the oven for 12 to 20 minutes. Test frequently and do not let the meat overcook; it should be quite rare when done. Remove from the oven and let cool.
Seed the peppers and slice think or cut into wedges, as desired. Cover and refrigerate until ready to use.
TO MAKE THE DRESSING, combine the shallots and Madeira in a saucepan and reduce to 1 cup. Stir in the orange juice and pulp and brown sugar and reduce to 1 cup. Combine the oils in a stainless steel bowl and whisk in the warm reduction. When well combined, whisk in the remaining dressing ingredients.
One hour before serving, cut the fillet into 1/2-inch slices and toss in a large bowl with the peppers, scallions, snow peas, and dressing. Serve on a bed of watercress, if desired.