Prep the onions: If you’re using fresh pearl onions, blanch them in boiling water for 2 minutes, then transfer to an ice bath. Peel and set aside. (Or skip this step and use frozen, already-peeled onions.)
Make the roux: In a large saucepan over medium heat, melt the butter. Stir in the flour and cook for 1–2 minutes, stirring constantly, until it forms a smooth paste and smells slightly nutty.
Add milk and cream: Gradually whisk in the warm milk. Continue stirring until the sauce thickens, about 3–5 minutes. Add in the cream, salt, pepper, and a pinch of nutmeg if using.
Cook the onions: Stir in the onions. Simmer on low heat for about 15 minutes, or until the onions are tender and the sauce is creamy and coats them well.
Garnish and serve: Transfer to a serving bowl, sprinkle with fresh parsley, and serve warm.