This sauce is not intended to be thick and creamy. The sauce consistency will depend on fish used and whether your fish is fresh or frozen. If you prefer a thicker sauce, you can drain the liquid into a pot after the fish has come out of the oven and heat it on the hob, to thicken.
I would not recommend using frozen fish fillets here because they do give off a lot more water.
You can use dairy milk instead in this recipe but as far as food combinations go, I wouldn't recommend it.
You could use cream instead but I would opt for a non dairy version!