Preheat oven to 500°. Rub tenderloin with cayenne, 1 tablespoon lemon juice and soy sauce. Place on rack in roasting pan. Place in preheated oven and roast for 15 minutes. Lower heat to 375° and cook for an additional 30 minutes or until center is cooked. Remove from oven and keep warm. Lower oven to 300°.
Combine lentils, goat cheese, shallots, 1 tablespoon parsley, remaining lemon juice, oil, mustard, thyme, salt and pepper. Set aside.
Cover ovenproof platter with chicory. Slice pork tenderloin and, holding sliced together, place them down the center of the platter on the chicory. Place equal portions of the lentil mixture on either side of the pork and return to 300° oven for 5 minutes. Remove from oven, sprinkle with remaining parsley, and serve immediately.