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Preheat oven to 220°C.
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Grill the bacon until starting to crisp. Cool and chop into small dice.
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Sift the flour into a mixing bowl along with the mustard powder, baking powder and cayenne.
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Using your hands rub the butter into the mixture until it's fully blended and it looks like fine breadcrumbs.
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Stir in the bacon, 3 /4 of the cheddar and chives.
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Mix the beaten egg with the buttermilk. Stir into the flour mixture until it's formed a smooth dough, but go lightly, otherwise the scones will be very heavy.
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Roll out the dough on a lightly floured surface to 1 inch thickness. Cut into 6 circles with a 2 1/2 inch cutter.
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Place scones on a greased baking sheet. Brush with milk and sprinkle over remaining cheddar.
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Bake for 15 - 20 minutes.