Heat a medium nonstick skillet over medium-high heat and brown the sausage. Transfer the sausage to a paper towellined plate. Add 1 tablespoon of EVOO (1 turn of the pan) to the skillet and then the onion and fennel. Cook the vegetables over moderate heat until tender but not brown. Add the wine and return the sausage to the skillet. Cook the wine away, a minute or so.
In a large saucepan, cook the polenta as directed in the main recipe and stir in the nutmeg when you add the thyme, salt, pepper and Pecorino Romano cheese. Top the pumpkin polenta with the sausage and fennel. Garnish with the chopped parsley and serve.