Heat a lightly greased grill pan over medium-high heat. Season the chicken with the lemon pepper. Grill 3 minutes per side or until internal temperature registers 160 degrees F on an instant-read thermometer. Remove and keep warm. Grill polenta slices 1 to 2 minutes per side until grill marks form. Set aside.
In a medium-size saucepan, heat oil over medium-high heat. Add shallot and cook 3 minutes, stirring occasionally. Add wine and simmer 1 minute. Stir together flour and broth and add to saucepan; simmer 2 minutes, until thickened. Stir in lemon juice, capers, parsley, salt and pepper. Whisk in butter.
Serve chicken with the sauce and the grilled polenta. Accompany with roasted carrots, if desired.