Place a large skillet over medium-high heat. Remove the casings from the sausage and crumble the meat into the skillet. Sauté until cooked through, 6 to 8 minutes. Remove the sausage from the skillet and set aside.
Add the oil to the skillet. Add the peppers and onion and sauté until the vegetables have started to brown and soften, about 15 minutes. While the peppers and onion cook, whisk the eggs together with the milk, parsley, Parmesan, salt, pepper, and rosemary. When the peppers and onion are done, turn off the heat and pour the egg mixture into the skillet. Sprinkle the sausage over the top and cook over medium-low heat for 5 minutes, or until almost set. Wrap the handle of the skillet with aluminum foil if it is not metal, and place the skillet in oven for 5 to 7 minutes or until the frittata is set. Let stand for 2 minutes before serving. Cut into 6 wedges and serve hot.