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Boil the kettle, put the shallots in a bowl, pour over kettle-hot water and set aside for 10 mins. This will make them much easier to peel. Heat oven to 200C/180C fan/gas 6.
Once cooled a little, drain and peel the shallots, and halve any large ones. In a large roasting tin, toss the shallots and squash with 1 tbsp oil and some seasoning. Roast for 25 mins.
Add the thyme, garlic, chilli, nutmeg, kale, lemon zest and hazelnuts to the roasting tin. Season and toss with the remaining oil. Return to the oven for another 15 mins.
While the vegetables are roasting, bring the stock to the boil in a saucepan. Pour in the polenta in a thin, steady stream, whisking continuously. Cook for 2-3 mins, then add the milk, season well and stir in the cheese. The polenta should have the consistency of loose mashed potato. Keep warm until ready to serve – the polenta will form a skin and thicken if left for too long, so cover with a piece of baking parchment, and stir in some extra milk if you need to.
To serve, pour the warm polenta onto a large serving platter and top with the roasted veg. Squeeze over a little lemon juice and finish with some parmesan shavings.