1.Preheat oven to 200°C/400°F.
2.Quarter capsicums; discard seeds and membranes. Place, skin-side up, on an oven tray. Roast 20 minutes or until skin blisters and blackens.
3.Cover capsicum pieces with plastic or paper 5 minutes; peel away skin, then slice capsicum thickly.
4.To make oregano vinaigrette, place ingredients in a screw-top jar; shake well. Season to taste.
5.Place capsicum in a large bowl with rocket and onion; toss gently to combine. Sprinkle with cheese, drizzle with vinaigrette.