Bring milk and half-and-half to a simmer over medium-high heat in a small, heavy saucepan. Gradually add 1/4 cup cornmeal, stirring with a whisk. Reduce heat to low, and cook for 5 minutes or until polenta is thick and creamy, stirring occasionally. Stir in butter, 1/4 teaspoon salt, 1/4 teaspoon black pepper, and 1/8 teaspoon nutmeg. Keep warm.
Place the quail, breast side down, on a cutting surface. Cut the quail in half lengthwise along backbone, cutting to, but not through, other side. Sprinkle the quail with remaining 1/4 teaspoon salt, remaining 1/4 teaspoon black pepper, and minced parsley. Place the quail on grill rack coated with cooking spray, and grill 6 minutes on each side or until done. Discard skin. Serve the quail with polenta and lemon wedges. Garnish with parsley sprigs, if desired.