In a medium skillet, cook the bell pepper, onion and jalapeno in the butter over medium heat until soft, about 10 minutes. Whisk in the flour and chili powder and cook, stirring, for about 3 minutes. Pour in the milk and whisk until any clumps dissolve. Cook over medium-low heat, stirring often, until very thick and you can no longer taste the raw flour, 5 to 8 minutes; season with salt and pepper. Stir in the cheese until melted. Stir in the parsley and the chives. Remove from the heat and let cool completely.
Preheat the broiler. Place the oysters on the half-shell on a rimmed baking sheet and cover each with the bechamel sauce. Top with the barbecue sauce and broil until the sauces are bubbling and the oyster is just cooked, about 3 minutes. Transfer to a serving platter. Top the oysters with the bacon and more chili powder. Serve with the lime wedges and cilantro sprigs.