Bacon around a filet mingon serves chiefly to flavor the meat with a bit of smoky goodness, and help in presentation. If I'm not incorrect, this preparation is called a tournedo, and comes from France. If the steak is broiled, or grilled, the bacon is more crispy. Pan frying doesn't allow the bacon to come in contact with the hot pan surface required to make it crispy. Though it is cooked through, it retains most of its water content.
I bet if you deep-fried that bacon wrapped fillet, you'd get some crispy bacon, and a pretty tasty steak to boot. When the tournedo is finished, it is sometimes served with steamed artichoke heart on top, and compound butter. That's where I got the idea for the other post I made on this subject.
As I think about it, tournedos are cut from a larger portion of the tenderloin than are the fillet mignons, which come from the tail end of the tenderloin. But like the fillet, they are usually wrapped in bacon, and cooked the same way. They are simply a larger version of the same thing.
Here is a link for other ideas concerning this cut of meat:
Tournedo - Definition and Cooking Information - RecipeTips.com
Again, this cut is usually broiled, or grilled.
Seeeeeya; Chief Longwind of the North