How to Make It
In a food processor, puree the lemons with the garlic, fennel, olive oil and the 1 tablespoon of pepper. Set the lamb in a glass baking dish and coat with the marinade. Cover with plastic wrap and refrigerate overnight.
Preheat the oven to 350°. Scrape off some of the marinade and transfer the lamb into a roasting pan. Season with salt. Roast for about 45 minutes, until an instant-read thermometer inserted in the thickest part registers 125°. Transfer the lamb to a cutting board and let rest for 15 minutes.
Meanwhile, in a large saucepan, combine the water with the polenta, whisking until smooth. Cook over moderate heat, stirring, until the polenta is slightly thickened, about 5 minutes. Whisk in the 1 cup of milk and cook over moderate heat, whisking constantly, until the polenta is almost tender, about 25 minutes. Whisk in the butter and mascarpone and cook for about 15 minutes longer, until the polenta is creamy and tender. Stir in the Pecorino Romano and season the polenta with salt and pepper.
Spoon the polenta onto dinner plates. Thinly slice the roasted lamb and arrange the slices over the polenta. In a small bowl, combine the chopped parsley and prepared horseradish. Sprinkle the mixture over the lamb and serve.