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Preheat oven to 425 degrees.
Add polenta, water, 1 1/4 cups milk, garlic, 1 1/2 teaspoons sea salt and 1/4
teaspoon black pepper to shallow pan or dutch oven. Whisk to combine. Cover and bake 30 minutes until polenta has absorbed most of liquid, stirring halfway through. Finish polenta by stirring in butter, 1/4 cup milk, cheddar and Parmesan. Season to taste with additional sea salt and pepper. If polenta firms up, stir in a little more milk to loosen. Cover and keep warm until ready to serve.
Meanwhile, drizzle radicchio with olive oil, so it's evenly coated. Season all over with sea salt.
In large skillet set over medium-high heat, add another 2 tablespoons olive oil. When oil is hot, add radicchio quarters cut side down; cook until browned at edges and firm-tender throughout, 3–5 minutes per side.
Thinly slice radicchio, then toss with lemon juice. Season to taste with sea salt.
Serve radicchio with cheesy polenta.