For the candied pecans: Preheat the oven to 375 degrees F. Line a baking sheet with foil or a silicone mat.
Toss the chopped pecans with the maple syrup and spread out in 1 layer on the prepared baking sheet. Cook until fragrant and no longer tacky or sticky, about 12 minutes. Remove from the heat and sprinkle with a pinch of sea salt. Let cool before using.
For the challah French toast: Lower the oven temperature to 200 degrees F. Heat a cast-iron griddle over medium-high heat.
In a medium bowl, beat together the milk, vanilla, cinnamon, nutmeg, salt and eggs. Dredge the challah slices in the batter.
Grease the griddle with the butter (about 1/2 tablespoon per slice). When the bubbles in the butter subside, add the dredged bread slices one at a time. Cook until beginning to brown, 2 to 3 minutes per side. Transfer to a baking sheet and keep warm in the oven.
For the sausage and eggs: Heat a grill pan over medium high. Grill the sausages on the grill pan until cooked through, 6 to 8 minutes. Slice each sausage in half lengthwise like a book (they should be attached along one side).
Heat a nonstick skillet over medium-low heat and add the olive oil and butter. Crack the eggs into individual bowls and spill them out into the pan one at a time. Cover the pan and cook until just perfectly cooked, about 90 seconds. (Cook longer if you prefer eggs that are more well done.) Season with salt and pepper.
To build: Spread 2 teaspoons of the peach preserves on each of the 4 slices of challah French toast. Top each with a grilled sausage, a fried egg and one-quarter of the candied pecans. Drizzle one-quarter of the sorghum over each and dust lightly with confectioners' sugar. Serve immediately.