Whisk flour, baking powder, baking soda, sugar, and salt in a medium mixing bowl.
Quickly cut butter into flour mixture with a pastry blender or by hand until the mixture resembles coarse crumbs; this might take about 3-5 minutes.
Make a well in the center of the mixture, add buttermilk, and stir until it forms a rough ball, do not overmix. Add chopped parsley and gently mix. Let it rest in the fridge while you make the chicken.
Heat oil in a skillet, stir in the chicken, and cook it for 3-5 minutes.
Add minced garlic, and stir for about a minute, followed by chopped onion, celery, thyme, and bay leaves. Saute until the onion is wilted – about 4 minutes.
Add butter, then gently add flour while stirring; cook for 1 minute.
Pour in about ½ cup chicken stock or broth, stirring to prevent lumps. Slowly add the remaining chicken broth a little at a time because you don't want the mixture to form lumps. Bring to a slow boil, then turn the heat down to medium, so it simmers gently and thickens, 12-15 minutes. Stir in the vegetables, cayenne pepper (if desired), nutmeg, and salt and pepper to taste.
Remove the dumpling dough from the fridge, then scoop about 3 tablespoons at a time into the skillet (or divide it into 8-10 portions). Leave some space between the dumplings because they double in size as they cook.
Place skillet in the oven and bake at 350℉/177℃ for 18-20 minutes, or until slightly brown and the dough is cooked through. After about 15 minutes, you may want to use a toothpick to test if the dumplings are done.
Remove from the oven and scoop a dumpling and a portion of the stew onto each serving plate. Serve hot.