In a saucepan, melt the butter until foaming and stir in the flour. Stirring, let it cook for a few minutes over medium heat. It shouldn’t brown.
When you smell the aroma of cookies, add the cold milk 1 cup at a time, whisking continuously until very smooth. Bring to a simmer. Add bay leaf, season, and let simmer over low heat for about 10 minutes, stirring from time to time.
Remove from heat, add nutmeg and lemon juice, season to taste, and set aside until ready to use.