For the leg of lamb: Preheat the oven to 450 degrees F. In a small bowl, combine the olive oil, anchovies, capers, mustard, herbs, garlic and lemon zest and juice to form a loose paste.
In a large saute pan over medium-high heat, melt the butter. Add the shallots and cook until they are soft. Then add the spinach in batches and saute until wilted. Season with salt and pepper. Transfer to a plate and let cool.
Sprinkle the lamb on both sides with salt and pepper. Unfold the lamb leg out and rub the marinade evenly on the inside. Spread the spinach down evenly on the inside of the meat. Starting from a long side, roll the lamb into a cylinder. Tie tightly at intervals with butcher's twine.
Heat the olive oil in a very large skillet over medium-high heat. Sear the lamb until brown on all sides, about 8 minutes.
In a large, deep roasting pan, make a layer of hay about 2 inches thick. Moisten the hay with the wine. Lay the lamb on the hay and cover with the rest of the hay. Place a lid on the roasting pan or seal tightly with a double layer of foil; it must be completely sealed.
Roast for about 15 minutes, and then lower heat to 350 degrees F. Continue to roast the lamb until an instant-read thermometer inserted into the thickest part registers 135 to 140 degrees F, about 55 minutes, depending on the size of the leg. Transfer the lamb to a platter and let rest for 20 minutes.
While the lamb rests, make the ratatouille: Heat the oil in a large skillet over medium heat. Add the fennel and cook for 2 minutes. Add the onions and continue to cook until soft. Add the zucchini, peppers, eggplant and garlic to the pan. Cook until all the vegetables are tender, about 5 minutes. Stir in the tomato paste to coat the vegetables and continue cooking for 2 minutes. Add the tomato juice and basil. Season with salt and pepper. Set aside, keeping warm.
To serve, carve the lamb and serve with the ratatouille, Zucchini Parmesan Fries and Lamb Sauce.
In a large bowl, combine the zucchini and milk and let sit for a few minutes. In another large bowl, combine the cornstarch and flour and sprinkle with salt and pepper. Strain the zucchini and add to the flour mixture. Toss well to evenly coat. Using a sieve, remove the zucchini from the flour and shake off any excess.
In a large saucepan, heat the oil over medium heat until a deep-fry thermometer registers 375 degrees F.
Working in small batches, add the zucchini and fry until golden brown, about 2 minutes. Transfer with a slotted spoon to paper towels to drain. Dust with the Parmesan.
Preheat the oven to 400 degrees F. In a roasting pan, combine the lamb bones with the garlic, carrots, celery and onions. Drizzle with the oil and toss well to coat. Roast until the vegetables are well caramelized, about 1 hour.
Place the roasting pan on top of the stove over medium-high heat. Deglaze the pan with the red wine and cook, stirring, until the wine has almost evaporated. Transfer everything to a large saucepan. Add enough stock to cover the vegetables and bones. Bring to a boil over medium-high heat, and then skim off the fat. Reduce the heat and simmer, uncovered, for 1 to 1 1/2 hours.
Stain the sauce into a small saucepan. Bring to a boil, and then reduce the heat to medium and reduce the liquid to 2 cups, about 30 minutes. Remove from the heat and whisk in the butter and herbs and season with salt and pepper. Reheat the sauce before serving.