I generally prefer the coarser, grittier cornmeal for polenta; and use the finer cornmeal in cornbread and baked goods. After researching it, I found that the grind of the cornmeal is a regional preference for traditional polenta recipes.
Regardless, I always recommend making your own (for a fraction of the cost) versus buying the prepared tubes. It takes an extra 10-15 minutes, but saves you at least $3 per meal. (Once again, the reason to buy bulk. $1 or less per pound of cornmeal, or flour, or grains!)