Combine first 3 ingredients in a small saucepan; stir well. Bring to a boil; cook 1 minute, stirring constantly. Remove from heat. Stir in parsley, salt, oregano, and rosemary; set sauce aside, and keep warm.
Prepare grill. Place fillets on grill rack coated with cooking spray; cover and grill 6 minutes on each side or until the fish flakes easily when tested with a fork. Serve with warm sauce.