Cut the fish into chunky pieces and put in a frying pan with the milk and a little seasoning. Cover and cook gently for 5 minutes until just cooked through. Drain, reserving the cooking juices.
Cook the potatoes in a saucepan of salted boiling water for 15 minutes or until tender. Drain well, tip into a bowl and mash with a fork into chunky pieces.
Add the butter, capers, fish and 2 tablespoons of the reserved cooking juices and season well. Mix together until the ingredients are combined but the fish and potatoes are still chunky. Shape the mixture into 8–10 balls and flatten into cakes.
Put the egg on a plate and sprinkle the polenta on to another plate. Coat the fish cakes first in the egg and then in the polenta.
Mix together the fennel mayonnaise ingredients in a serving dish. Heat 5 mm (½ inch) of oil in a large frying pan and fry the fish cakes, in batches if necessary, for about 2 minutes on each side until golden.
Serve the mayonnaise with the hot fish cakes and a little watercress on the side.