Rinse pork and pat dry; trim and discard fat and any silvery membrane from tenderloin. Sprinkle meat lightly with salt and pepper. Pour oil into a 10- to 12-inch nonstick, ovenproof frying pan over high heat, tilting pan to coat bottom; when oil is hot, add tenderloin and turn as needed to brown on all sides, about 4 minutes total. Remove from heat; arrange figs and thyme sprigs around pork.
Transfer pan with pork to a 400° regular or convection oven; bake until a thermometer inserted in center of thickest part of meat reaches 155°, 18 to 25 minutes.
Meanwhile, in a 4- to 6-quart pan, combine polenta, 1/2 teaspoon salt, and 4 1/2 cups water. Stir over high heat until mixture boils; reduce heat to medium-low and simmer, stirring occasionally, until polenta is smooth to taste, 25 to 30 minutes. Remove from heat and stir in 1/3 cup blue cheese; add salt and pepper to taste. Cover and keep warm.
Transfer tenderloin and figs to a rimmed platter and let stand in a warm place for 5 minutes. Add wine, honey, and orange peel to unwashed frying pan. Boil over high heat, stirring to release browned bits, until mixture is reduced to about 1/2 cup, 4 to 5 minutes. Remove and discard thyme sprigs.
Slice pork diagonally across the grain 1/2 inch thick. Spoon polenta mixture equally onto four dinner plates. Arrange pork and figs over polenta; spoon sauce equally over pork and figs. Top with more blue cheese if desired.