Grease and line a 20cm (base measurement) square cake pan with baking paper, allowing the sides to overhang.
Combine the stock and milk in a large saucepan over medium-high heat. Bring to a simmer. Reduce heat to low. Gradually add the polenta in a thin, steady stream, stirring constantly until incorporated. Cook, stirring constantly, for 10 mins or until polenta boils and thickens. Remove from heat. Add the parmesan and blue cheese and stir to combine. Season with salt. Pour into the lined pan. Place in the fridge for 1 hour or until set.
Meanwhile, to make the caper-tarragon butter, combine the butter, tarragon, capers, anchovy, garlic, mustard and lemon rind in a small bowl. Spoon the mixture along the centre of a sheet of baking paper and shape to form a log about 15cm long. Roll up and twist the ends to secure. Place in the fridge until firm.
Turn the polenta onto a clean work surface. Use a large sharp knife to cut into twelve 10cm-long fingers. Lightly spray with olive oil spray.
Heat a barbecue grill or chargrill on high. Season steaks. Cook on grill for 3 mins each side for medium or until cooked to your liking. Transfer to a plate and cover with foil. Set aside for 5 mins to rest.
Meanwhile, cook the polenta fingers on grill for 1-2 mins each side or until lightly charred and heated through.
Cut the caper-tarragon butter into 1cm-thick slices. Place the steaks on serving plates and top each with a slice of caper-tarragon butter. Serve immediately with polenta fingers.