Preheat oven to 425°.
Cut several slits in the bottom of each tomato; place, stem sides down, in a shallow roasting pan coated with cooking spray. Bake at 425° for 20 minutes. Reduce oven temperature to 375° (do not remove tomatoes from oven); bake 45 minutes or until browned. Cover and let stand 10 minutes.
Heat oil in a large nonstick skillet over medium-high heat. Add shallots; sauté 5 minutes or until browned. Add sugar; sauté 5 minutes. Add wine; reduce heat, and simmer for 5 minutes. Add 1/2 teaspoon salt and pepper. Remove from heat; stir in tomatoes. Cover; set aside.
Combine the milk and water in a large saucepan; bring to a boil. Remove from heat, and gradually add the polenta, stirring constantly with a whisk. Cover and cook over medium-low heat 2 minutes. Add 1 teaspoon salt; cover and let stand 5 minutes or until thick, stirring occasionally. Top the polenta with the tomato compote and Parmesan cheese.