To make marinade, combine the cayenne, garlic, Kosher salt, ½ cup of the olive oil, 1 tablespoon of the lemon zest, ¼ cup of the lemon juice and 1 teaspoon of the rosemary. Pour over the lamb. Refrigerate lamb for 24 hours, turning every few hours to coat in marinade.
Place leg on a preheated grill and cover. After 15 minutes, remove the cover and turn. Cover again. Continue to turn meat every 15 minutes until it reaches an internal temperature of 140°F, about 35-45 minutes.
To make the roasted red pepper sauce, combine half of the roasted red peppers, the remaining 2 tablespoons olive oil, 2 tablespoons lemon zest, 2 tablespoons lemon juice and ½ teaspoon of rosemary in a blender. Blend until smooth. Fold in the remaining roasted red pepper. Season to taste with salt. Refrigerate until needed.
To serve, slice lamb and place 6 ounces on a plate. Top with ¼ cup of chunky roasted red pepper sauce.