Preheat the oven to 400°F (200°C).
Place the fillet in a roasting pan and roast until a thermometer registers 120°F (50°C), 25 to 30 minutes. Let the fillet cool completely, about 45 minutes. Discard the larding fat and strings. Skim the fat from the pan juices and reserve the pan juices.
In a heavy skillet, cook the mushrooms in the butter over medium-low heat, stirring until all the liquid has evaporated, about 20 minutes. Season with salt and pepper. Dump them in a bowl or spread them on a rimmed baking sheet and let cool completely, about 20 minutes.
Spread the fillet evenly with the pâté de foie gras, covering the top and sides. Spread the mushrooms evenly over the pâté de foie gras.
On a floured surface, roll 1 pound of the puff pastry into a rectangle about 20 by 12 inches that's large enough to completely enclose the fillet.
Invert the coated fillet carefully onto the middle of the dough and fold up the long sides of the dough to enclose the fillet. Brush the edges of the dough with the egg white and wrap them around the roast and gently press to seal. Repeat with the ends of the dough to completely conceal the roast.
Move the fillet, seam side down, to a shallow roasting pan or jelly roll pan, and brush with some of the egg wash. If desired, roll out the additional dough and cut shapes with decorative cutters and arrange the cutouts on top, and brush with the remaining egg wash. Cover and refrigerate for at least 1 hour but no more than 2 hours.
Preheat the oven to 400°F (200°C).
Roast the fillet for 30 minutes, reduce the heat to 350°F (180°C) and roast for 5 to 10 minutes more or until a meat thermometer registers 130°F (55°C) for medium-rare. Remove and let stand for 15 minutes.
In a saucepan, boil the reserved pan juices and Madeira until the mixture is reduced by about 1/4. Add the arrowroot mixture, beef broth, truffles, and salt and pepper to taste. Cook over moderate heat, stirring (being careful not to boil) until thickened, 3 to 5 minutes.
Loosen the fillet from the jelly roll pan, transfer it with two spatulas to a warmed platter and garnish with watercress. To serve, cut the fillet into 3/4-inch-thick slices, dress with the sauce.