Special equipment: 4 large foot-long skewers, metal or thick bamboo work best, soaked in water for half an hour if using bamboo or wood.
Preheat grill to medium-high heat.
Slice chicken thinly, cut the baguette into 1/2-inch rounds, and cut the sausage links up into chunks, alternating cuts at 45 degree angles for nice triangular shapes.
Now prepare the kebabs. Take the skewers 1 at a time and begin threading the components alternately. Start with a piece of bread, then chicken, bay leaf, sausage, and bread; repeat this 3 times to fill the skewers, ending with bread.
Lay the prepared kebabs out on your board and drizzle liberally with extra-virgin olive oil. Squeeze the lemon juice all over and season well with salt and freshly ground black pepper. Place the prepared kebabs onto preheated grill and cook for about 7 to 10 minutes per side, or until cooked through.
While kebabs are roasting you can prepare the salad. In a blender combine the anchovies, garlic, lemon juice, egg yolks and grated Parmesan. Pulse a couple of times to combine, then add the water and blend again. With the motor running, gradually pour the oil through the feed tube and continue to blend until emulsified. Season, to taste, with salt and some freshly ground black pepper.
In a large mixing bowl add the chopped romaine. When the kebabs are done, remove from the oven and slide the kebab components off the skewers directly into the bowl. Add some dressing and gently toss to combine.
To plate, garnish with parsley leaves, shaved Parmesan and fresh lemon wedges.