1. Make polenta: Line baking pan with plastic wrap and set aside. Melt butter in large, heavy saucepan over medium heat and sauté onion until golden -- about 10 minutes. Stir in polenta, broth, 1/2 teaspoon salt, 1/2 teaspoon black pepper, and cayenne pepper and bring mixture to boil. Lower heat and cook until polenta thickens -- 10 to 15 minutes. Stir in 1 cup water, cheese, and chopped rosemary. Transfer polenta to prepared pan, spread evenly, and cool completely.
2. Grill polenta: Heat a grill until very hot. Invert polenta pan onto clean surface. Cut polenta into 3-inch triangles, brush each with oil, and place on grill. Cook until polenta is heated through and golden -- about 10 minutes. Place grilled polenta triangles on a platter and keep warm.
3. Grill vegetables: Place vegetables in large bowl, add remaining olive oil, salt, and pepper, and toss to coat. Grill vegetables until they just begin to soften. Place grilled vegetables over polenta and serve immediately.