In a medium saucepan, heat the chicken broth over low heat. In a medium skillet, heat 2 tablespoons EVOO, 2 turns of the pan, over medium-high heat. Add the onion and garlic to the skillet and cook until softened, 3 to 4 minutes. Add the rice and toss to coat; season with salt and pepper. Stir in the champagne and boil to evaporate slightly, about 2 minutes.
Stir a couple of ladlefuls of warm chicken broth into the rice and cook, stirring occasionally, until the liquid evaporates. Add more broth, a few ladlefuls at a time, reserving 1/2 cup. Cook until creamy, stirring occasionally, about 18 minutes.
While the risotto cooks, in a small saucepan, cook the cream, lemon peel and cayenne over medium-low heat until slightly reduced, about 15 minutes.
Meanwhile, season the chicken breasts with salt and pepper. In a nonstick skillet, heat 2 tablespoons EVOO, 2 turns of the pan, over medium-high heat. Add the chicken and cook for about 6 minutes on each side. Transfer to a cutting board (reserving the skillet); add the reserved 1/2 cup chicken broth to the pan juices in the skillet and stir. Stir this liquid into the risotto as it cooks.
In the nonstick skillet, heat the remaining 1 tablespoon EVOO, 1 turn of the pan, over medium-high heat. Add the pancetta and cook for about 3 minutes. Add the asparagus and shallot and cook, stirring, for 3 more minutes.
To serve, stir the cheese and thyme into the risotto and spoon generous portions onto plates. Slice the chicken breasts on an angle and fan out over the risotto. Discard the lemon peel from the reduced cream; spoon over the chicken. Pour the lemon juice over the asparagus and toss; spoon around the risotto.