Bring milk, broth and butter to the boil in a pot, season with salt, pepper and nutmeg. Stir the polenta into the boiling mixture and let it simmer for about 1 minute, stirring continuously. Switch the stove to low heat and let polenta swell for about 10 minutes. Grate cheese finely. Stir about 2/3 cheese into the polenta. Put the mixture on a baking tray covered with baking paper, spread evenly and smooth it down.
Wash the meat and dab dry. Lay out half of the ham slices on the worktop, slightly overlapping to form an area (approx. 25 cm (depending on the length of the fillets) x approx. 30 cm). Spread 1 fillet with 1 tbsp. mustard, season with a little salt and pepper and place on a short edge of the prepared ham surface. Roll up the fillet from the short side. Do the same with remaining slices of ham and the rest of the fillet.
Heat 2 tablespoons of oil in a frying pan or large frying pan. Fry the fillets for 4-6 minutes. Place the meat in the oil-greased fat pan of the oven and cook in the preheated oven (electric cooker: 125 °C/ circulating air: 100 °C/ gas: see manufacturer) for approx. 45 minutes.
Clean or sort the rocket, wash and shake dry. Wash parsley and mint, shake dry, pluck leaves from the stalks. Peel and halve the garlic. Remove the crusts from the bread and dice it roughly. Drain anchovy fillets. In a tall container, finely puree 50 g rocket, parsley, except for a few leaves for garnishing, mint, garlic, anchovy fillets, bread, capers and 180 ml olive oil with a hand blender. Season salsa with salt and pepper.
Increase oven temperature to 150 °C (circulating air 125 °C/ gas: see manufacturer) and cook meat for a further 20-25 minutes (core temperature should reach approx. 64 °C). Clean, wash and dry radishes and cut into thin slices. Clean and wash lettuces, drain well and pluck into bite-sized pieces. Whisk vinegar, salt, pepper and sugar, fold in 6 tbsp. oil.
Cut out polenta with a circular cutter (approx. 3 cm Ø). Put the thaler on a baking tray covered with baking paper. Sprinkle the rest of the cheese on the thalers. Take the meat out of the oven, cover with aluminium foil and let it rest for about 10 minutes. In the meantime, bake the polenta under the switched-on grill of the oven (approx. 240 °C) for 3-5 minutes.
Mix leaf salads, the rest rocket, radishes and vinaigrette and arrange in small bowls. Cut the meat into slices about 1 cm thick and arrange on a plate. Drizzle some salsa over it. Add polenta and garnish with parsley and possibly with thyme and sage. Add the rest of the salsa.