Heat grill to medium heat.
Brush both sides of fish with oil. Grill, skin-sides down, 10 min. or until fish flakes easily with fork.
Meanwhile, cook cream cheese and milk in saucepan on medium heat 2-3 min. or until cream cheese is completely melted and sauce is well blended, stirring constantly. Stir in pesto.
Serve fish topped with sauce and parsley.