Heat the flame grill to high. Place the peppers directly over the heat and cook, turning occasionally, until blistered and blackened on all surfaces, about 3-5 minutes for each exposed surface; set aside to cool. Once cooled, run the peppers under cool water and pull off the blackened skin, seeds, and stem and discard. Stack the roasted pepper flesh and cut into thin, ¼-inch-wide, 2-inch-long-strips; set aside.

Bring the polenta, milk, salt, and pepper to a boil in a medium saucepan. Whisk until it comes to a boil and then reduce heat to medium-low and continue cooking, stirring frequently until it is thickened, about 40 to 45 minutes.

In a medium skillet, heat the oil over medium-low hear. Add the onion, salt, and pepper, and cook, stirring occasionally, until softened and lightly browned, about 20 minutes.

To finish, stir the cheese into the cooked polenta until melted. Gently fold in the horseradish, roasted pepper, and sauteed onions. Taste and adjust seasonings to your taste. Serve immediately or keep warm for up to 3 hours over a gently simmering water bath.