PREHEAT greased grill to high heat. Brush fish with oil.
GRILL fish 3 to 4 min. on each side or until fish flakes easily with fork.
MEANWHILE, melt butter in medium skillet on medium heat. Add leeks; cook and stir until tender. Reduce heat to low. Add cream cheese, wine, milk, parsley and seasonings; cook until cream cheese is completely melted, stirring frequently. Spoon over fish.