Split the skins of the sausages with a knife, peel away and discard.
Heat the oil in a shallow flameproof casserole or heavy-based frying pan and gently fry the onions for 10 minutes until softened and pale golden, adding the garlic for the last couple of minutes. Add the sausages and fennel seeds and cook for 10 minutes, breaking up the sausages with a wooden spoon, until golden.
Stir in the passata, wine, tomato paste and oregano. Bring to a simmer, then reduce the heat to its lowest setting, cover and cook gently for 30 minutes until the sauce is thick and pulpy. Season to taste with salt and pepper.
Break up the polenta into small pieces and crumble over the sausages. Sprinkle with the Parmesan and Cheddar and cook under a preheated moderate grill for about 5 minutes until the cheese is melting and the polenta is heated through.