Peel the lemon with a small knife, taking care to remove all of the white pith. Remove any pips and finely chop the flesh. Place in a food processor and add 3 tbsp of oil, the anchovy fillets, garlic and chilli. Process until well combined.
Keeping the motor running, gradually add the milk, about ½ tbsp at a time. (If you add the milk too quickly, the dressing may split.) When all the milk is incorporated, add about 1-2 tsp of warm water so the dressing is of pouring consistency.
Bring a saucepan of salted water to the boil. Blanch the asparagus until just tender, about 2-3 minutes. Drain and refresh in iced water. Drain again. Dress with remaining olive oil and season to taste.
Place some of the anchovy dressing on a large share plate, pile the asparagus on top, then top with watercress. Spoon over the remaining dressing and scatter over the hazelnuts.