Preheat the oven to 375 degrees .
Cut two 1 1/2-inch-thick slices from the center of each cauliflower head to form 4 large tree-shaped "steaks". Chop the remaining cauliflower into bite-size florets, about 4 to 5 cups, and place them in a medium pot with a lid. Add the stock, milk, garlic and nutmeg. Season with salt and pepper and bring to a simmer over medium heat. Partially cover and cook until florets are very tender, 10 to 12 minutes. In a food processor, puree the cooked cauliflower with the cheese. Return the puree to the pot and cover to keep warm.
Meanwhile, in a large cast-iron skillet or on a griddle, heat the EVOO over medium-high. Season the cauliflower steaks with the rosemary and salt and pepper. Cook, turning, until browned, 3 to 4 minutes on each side. Transfer to the oven; roast until deep golden and tender, 10 minutes.
Chop the nuts with the parsley and lemon zest to make the gremolata.
Divide the puree among 4 plates and top each with a cauliflower steak. Sprinkle with the gremolata.