Preheat oven to 350°F. Toss garlic cloves with 1 tablespoon oil in small glass baking dish. Roast uncovered until garlic is tender and golden, about 30 minutes. Cool. Peel garlic. Set aside.
Char both peppers over gas flame or in broiler until blackened on all sides. Enclose in paper bag and let stand 10 minutes. Peel and seed peppers. Cut into matchstick-size strips.
Melt butter in heavy medium saucepan over medium-high heat. Add shallots and chopped garlic and sauté until fragrant, about 1 minute. Add wine and lemon juice and simmer until reduced to 1/2 cup, about 7 minutes. Add cream and simmer until reduced to sauce consistency, about 5 minutes. Mix in roasted garlic and bell peppers. Season to taste with salt and pepper.
Meanwhile, preheat broiler. Brush chicken with remaining 2 teaspoons oil. Sprinkle with salt and pepper. Broil until cooked through, about 5 minutes per side. Place 1 chicken breast on each plate. Spoon sauce over. Sprinkle feta over and serve.
