Preheat grill. (Alternatively, preheat oven to 450 °F.) Coat two 24-inch-long sheets of foil with cooking spray, leaving a 2-inch border.
Trim root ends, outer leaves and all but about 1 inch of the dark green portion from leeks. Starting at the stem end, make a lengthwise incision with a sharp knife to within about 1 inch of the root end. Make a second incision at right angles to the first one. Wash leeks thoroughly, shaking to loosen any dirt. Pat dry. Place half the leeks on one of the prepared sheets of foil. Season with salt and pepper to taste. Seal edges of foil around leeks to form a packet. Repeat with remaining leeks and prepared foil. Wrap each packet in a second sheet of foil.
Pierce each eggplant in several places with a fork.
Place the leek packets, eggplants and bell peppers directly on the grill. Cover and grill, turning eggplants and bell peppers frequently with tongs, for 20 to 35 minutes: Cook the leeks until very tender and lightly caramelized on the bottom (open the packages to check); when done, unwrap packages and let the leeks cool. Cook the eggplants until skin is blackened all over and flesh is very soft. Cook the bell peppers until blackened all over. (Alternatively, place leek packets on the middle shelf of the oven. Set bell peppers and eggplant on a baking sheet and place on a lower shelf. Roast for 20 to 35 minutes.) As the eggplant and bell peppers are done, transfer them to a baking sheet; cover with a kitchen towel and set aside for about 20 minutes.
Stem and peel the eggplants. Cut in half lengthwise, then cut each half into quarters. Set aside.
Working under running water, slip skins off the bell peppers. Cut each one lengthwise into quarters, removing cores and seeds.
With the side of a chef's knife, mash garlic with 1/2 teaspoon salt. (Alternatively, mash garlic and salt in a mortar with a pestle.) Transfer to a small bowl. Whisk in lemon juice and oil. Season dressing with pepper.
Arrange leeks, eggplants and bell peppers on a serving platter. Drizzle dressing over vegetables and sprinkle with parsley. Serve with Romesco Sauce.
Make Ahead Tip: Cover and refrigerate for up to 2 days. Bring to room temperature before serving.