Melt 25 g (1 oz) of the butter in a frying pan on the hob and gently fry the leeks until very soft. Leave to cool. Add the chopped chestnuts, cream, parsley and plenty of nutmeg. Season lightly with salt and pepper. Melt the remaining butter in a small saucepan.
Brush 4 of the filo squares lightly with melted butter and position a second square on top, adjusting the angle to create a star shape. Brush lightly with more butter and position a third layer, again adjusting the angle. Divide half the filling equally among the centres. Lift up the pastry edges and pinch together to parcels. Repeat with the remainder of the pastry and filling, so that you end up with 8 parcels, and place in a shallow roasting tin. Brush with the remaining butter. Place on the lower rack of the halogen oven.
Set the temperature to 200°C (392°F) and cook for 10–15 minutes until the pastry is golden and crisp. While cooking, mix together the dressing ingredients in a small bowl. Arrange the filo parcels on a bed of rocket and drizzle with the dressing.