To make the fish sticks, position 1 rack 6 inches from the heat of the broiler. Position a second rack in the center of the oven and preheat to 375°F. Grease a large baking sheet with olive oil, or spray with cooking spray.
Place the sesame seeds in the bowl of a food processor fitted with the steel blade and process until they have the texture of coarse nut meal, about a minute and a half for unhulled seeds (a bit less for hulled). You will have about ⅔ cup ground sesame meal.
Have 3 shallow bowls or pie plates ready, one of them large. Spread the whole wheat flour over 1 plate. Put the egg and milk in the second one and lightly beat with a fork to blend. On the
large plate, spread the panko bread crumbs and the sesame meal, tossing with your hands to combine.
Pat the fish fillets dry with paper towels. Cut each fillet lengthwise into 2 pieces, and season with salt and pepper. Dredge each piece in the flour mixture, shaking off any excess. Dip into the egg mixture, allowing the excess to drip off, and coat with the panko-sesame mixture, pressing gently to adhere all around. Transfer the coated fillets to the prepared baking sheet.
Spray the fillets with cooking spray and place the baking sheet on the center rack of the oven. Bake until the fish sticks are opaque throughout, 9 to 13 minutes depending on the thickness (test by piercing the thickest part with a paring knife).
Meanwhile, make the rémoulade. Beat the yogurt in a small bowl with a fork until smooth. Add the ¼ cup dill, cornichons, capers, mustard, and honey, and stir to combine. Garnish with the remaining 1 tablespoon dill.
Transfer the baking sheet to a wire rack and spray the fish sticks with cooking spray. Heat the broiler. Place the baking sheet on the top rack and broil the fish sticks until golden brown, 2 to 3 minutes. Watch closely so as not to burn them. Serve right away, with the rémoulade and lemon wedges.