That’s the traditional home way to eat the leftovers of polenta of the day before. Eaten alone it is not appealing, but it becomes great if you let some gorgonzola cheese melt on it. Fresh polenta il fluffy and has the consistency of mashed potatoes.
They used to sell these polenta sausages here. (Or whatever you call a heap of polenta in sausage shape.) I don’t think they’re available anymore. You could cut off slices to fry them up.
It is a bestseller in Italy, too, it’s very easy and quick to make (making polenta from scratch can be a real pain), and it definitely tastes quite decent.
It took me more than a while to get you were talking about polenta in shape of sausages and not of polenta WITH sausages. 
I’m quite sure you won’t find any “solid” polenta for sale in italian shops, but just powders to make polenta. So the idea of the “shape of polenta” is something similar to the “shape of water” to me.
I found various “proper” names for it in English. Polenta rolls, polenta tubes, tubed polenta.
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