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Gently wipe the ham with paper towels but do not remove any visible fat. Cut the rosemary sprig in half and "massage" it gently into to outside of the ham, then discard. Season the outside of the ham with black pepper.
Return the dough to the work surface and use a rolling pin to roll it out to 1/2-inch thickness. The dough may be an irregular shape. Place the ham in the middle of the dough and completely wrap it in the dough. Pinch the edges together to seal. Place the ham on a baking sheet and let sit for 20 minutes.
Preheat the oven to 350 degrees F.
Bake the ham for 2 hours, after which time the crust should be light golden and fragrant.
While the ham cooks, prepare the stuffed radicchio. Place a piece of cheese at the end of each of the radicchio leaves and roll each leaf to completely enclose the cheese. Secure with toothpicks.
In a 12 to 14-inch saute pan, heat the butter over medium heat until it foams and subsides. Working in batches, saute the rolls in the pan for about 1 minute each. After the rolls are cooked, transfer them to a 9 by 13-inch casserole and season lightly with salt and pepper. When all the rolls have been Sauteed, pour the pan juices over the rolls and set aside until the ham is done cooking.
After 2 hours of cooking, remove the ham and let it sit for 5 minutes. Increase the heat to 400 degrees F., and cook the radicchio rolls in the oven for 2 to 3 minutes. Remove, carve the ham, and serve immediately.