Preheat the oven to 400° F. Add the brussels, cauliflower, and squash to a large-rimmed baking tray. Drizzle the vegetables with the olive oil, balsamic, salt, pepper, nutmeg and few pinches of cayenne, and toss everything together with your hands to coat. Roast in the upper third of the oven for 35 minutes, until edges are browned.
While the vegetables roast, make your dressing. In a mini blender or processor, combine the horseradish, garlic, shallot, honey, white wine vinegar, olive oil, salt, and pepper, and herbs. Blend everything together to mix well. Taste for salt and pepper and set aside.
As soon as the hot tray is out of the oven, add the beans onto the tray and toss everything together. Allow the vegetables to cool to room temperature. Add the pomegranate seeds, arugula, and a good drizzle of the dressing and toss everything to coat.
Serve at room temperature (or cold after chilling the roasted vegetables).