White Sauce: In a saucepan bring milk, nutmeg and cayenne to a boil; remove from heat. In another saucepan, combine flour and olive oil over medium heat; cook, stirring, until blended. Gradually add hot milk mixture, whisking constantly; cook, whisking, until thickened, about 5 minutes. Stir in Parmesan; set aside.
In a saucepan combine leeks, wine, shallots and garlic; bring to a boil, reduce heat and cook until vegetables soft, about 10 minutes. Meanwhile, cook the pasta.
In a large pot of boiling salted water, cook linguine 8 to 10 minutes or until al dente. Stir white sauce and salmon into leek mixture; cook just until salmon is barely done, about 3 minutes. Toss drained pasta with sauce, dill and pepper.