Preheat the oven to 375 degrees . Arrange the bacon on a broiler pan and bake until crisp, about 10 minutes.
Meanwhile, in a large skillet, heat the EVOO, a turn of the pan, over medium-high heat. Season the chicken with salt and pepper; add to the skillet and cook, turning once, until browned, about 10 minutes. Transfer to a plate.
Add the butter to the skillet to melt. Add the apples, onion, thyme and sage. Season with salt, pepper and nutmeg. Cook until the apples are crisp-tender, 5 to 6 minutes. Stir in about 1/2 cup chicken stock, the apple cider and apple brandy. Add the chicken, coat with the sauce, lower the heat and simmer for 15 minutes.
Meanwhile, in a medium saucepan, bring the remaining 2 cups stock and the milk to a boil. Whisk in the polenta and cook, whisking constantly, until thick, 2 to 3 minutes; season with salt and pepper. Whisk in the cheese until melted. Serve on rimmed plates and top with the chicken, apples, onion and crisscrossed slices of bacon.