Preheat oven to 400 degrees F. Trim Brussels sprouts. In a large bowl combine Brussels sprouts and olive oil; toss to coat. Transfer sprouts to a 15x10x1-inch baking pan. Sprinkle with salt and pepper. Roast, uncovered, for 30 to 35 minutes or until tender and browned, stirring once.
Meanwhile, in a large skillet melt butter over medium heat. Add onions; sprinkle with sugar. Cook and stir just until onions begin to brown. Cover and cook for 5 to 10 minutes more or until onions are almost tender. Add fennel; cover and cook for 8 to 10 minutes or until fennel is tender, stirring occasionally. Remove lid; add broth, bay leaves, parsley, and thyme. Cook, uncovered, over medium heat until liquid is reduced to 2 to 3 tablespoons. Discard bay leaves. Stir in roasted Brussels sprouts, walnuts, and walnut oil.
Serve vegetable mixture over Bacon-Swiss Polenta.
In a medium saucepan over medium-high heat, bring milk to boiling. Stir in polenta, butter, salt, and pepper. Cook over medium heat, whisking constantly, 5 to 8 minutes or until mixture thickens. Stir in cheese and bacon; serve immediately.