To prepare sauce, combine first 3 ingredients in a medium sauce pan and bring to a boil. Reduce heat to medium and reduce liquid, uncovered, to 1 cup. Strain out rosemary and shallots. Add sugar and cream and continue to reduce liquid to about 1 cup. Season with salt and pepper.
Cut elk into 4 relatively equal-sized pieces. With a sharp boning knife, cut a slit into each piece to form a pocket. Season inside and out with salt and pepper. In a bowl, combine cheese, breadcrumbs, garlic, onions and rosemary and stuff inside each piece of tenderloin. Place enough stuffing in each so that it is evenly distributed, but not overstuffed. You should be able to close the seam where you made the pocket. Place each seam side down in a baking pan. Roast in a preheated 400 degree oven for 7 to 8 minutes or until meat is evenly browned. Remove from oven and let stand for 3 to 4 minutes.
To serve, slice each stuffed tenderloin into 3 pieces. Arrange on plates. Spoon sauce over part of meat and spoon extra sauce onto plate.