1.To make gremolata; combine ingredients in small bowl.
2.Using meat mallet, gently pound lamb between sheets of plastic wrap until 1cm thick. Cook lamb, in batches, on heated oiled grill plate (or grill or barbecue) until cooked as desired. Place lamb on oven tray.
3.Meanwhile, preheat grill. Quarter capsicum, discard seeds and membranes; place under grill, skin-side up, until skin blisters and blackens. Cover capsicum pieces in plastic or paper for 5 minutes; peel away skin then slice thickly. Combine capsicum and juice in small bowl.
4.Top steaks with capsicum then cheese; grill about 5 minutes or until cheese melts. Serve stacks sprinkled with gremolata.
Serve with baby rocket leaves.Note