Wrap each beet in foil; roast in 400°F oven until tender, about 1 hour. Let cool enough to handle. Peel and dice to make 1 1/2 cups. (Make-ahead: Refrigerate in airtight container for up to 48 hours.)
While beets are cooling, in small saucepan, bring broth and 1 1/2 cups water to boil. Reduce heat to low and keep warm.
Meanwhile, in large skillet, melt butter over medium heat; cook shallots, stirring occasionally, until softened, about 5 minutes. Add thyme; cook, stirring, until fragrant, about 30 seconds. Add rice; cook, stirring to coat, until lightly toasted, about 1 minute. Pour in wine; cook, stirring, until most of the liquid is absorbed, about 1 minute.
Add broth mixture, 1/2 cup at a time, stirring after each addition until most of the liquid is absorbed before adding more, about 18 minutes total. (Rice should be loose and creamy yet still slightly firm in centre.) Stir in beets, 1/2 cup of the Parmesan and all but pinch each of the salt and pepper. Remove from heat. Stir in lemon juice.
While risotto is cooking, in nonstick skillet, heat oil over medium heat; cook beet greens, stirring occasionally, until wilted, about 2 minutes. Sprinkle with remaining salt and pepper. Top risotto with beet greens and remaining Parmesan.
Makes 4 to 6 servings.