Place the peppers on a baking tray, pour over the olive oil and then either roast in the oven at 220°C or 450°F for 35-40 minutes or in an air fryer at 200°C or 400°F for 25-30 minutes.
Bring an 18cm or 7" saucepan of water to a boil and add the bay leaf and small onion (cut in half). Pour in the puy lentils and reduce the heat to a gentle simmer, and cook for 25 minutes.
Remove the peppers, place them in a bowl and cover them with cling film and allow to sit for 5-10 minutes.
Cut the red onion in half, peel it, then slice it into half-moon shapes as finely as you can.
A few minutes before the puy lentils are cooked, place the onions in a bowl with the coarse sea salt, sugar and red wine vinegar and mix well.
Drain the lentils, discard both the onion and the bay leaf and place the lentils in a bowl.
Add in the red onion and vinegar combination, mix well and allow to sit.
Remove the skin from the peppers and tear them into shreds, and add them to the lentils along with any juices and oil in the roasting tin. Then allow to cool completely.
Just before serving, slice the goat's cheese and add it to the salad along with the rocket. Have a taste and add more coarse sea salt to taste.