Cut the cauliflower into 6 equal slices or “steaks,” slicing from the top down through to the core. Place the cauliflower steaks in a single layer on the prepared baking sheet, drizzle with the olive oil, and then sprinkle generously with salt and pepper.
Roast the cauliflower steaks for 15 minutes, then flip and roast for an additional 5 to 10 minutes, until fork-tender and browned on the edges.
While the cauliflower is roasting, make the sauce: Place the heavy cream, cheddar cheese, garlic, Dijon mustard, hot sauce, salt, and pepper in a large saucepan over medium heat.