Make sure to zest the lemons before freeing them of their juices. It will just make the process easier. Combine marinade ingredients in a small bowl.
Trim lamb leg of excess fat. Place into a resealable plastic bag and pour marinade over top. Work the mixture into the meat, until well coated. Seal bag and place into the refrigerator for 8-12 hours.
Preheat grill for medium heat.
Remove lamb leg from a plastic bag and discard marinade. Tie roast securely with kitchen twine so that no part of it moves around. Thread lengthwise onto the rotisserie skewer (follow manufacturer’s recommendations). Center and secure tightly with the rotisserie forks.
Season lamb with 1 teaspoon of salt right before placing it on the grill.
Cook for 1 1/2-2 hours, or until it reaches an internal temperature of 145 degrees F. in the thickest part of the meat.
Once cooked, using heat resistant gloves, carefully remove the lamb roast from the grill with the fork still intact. Place onto a clean cutting board and tent with aluminum foil. Let rest for 10 minutes.
While the meat is resting, it is time to prepare the caper dressing. Heat olive oil in a medium pan. Add shallots and cook over medium meat until translucent (2 minutes). Turn up the heat to high and add wine, and stir through. Add broth, lemon juice rinsed capers, and salt and pepper to taste. Remove from heat and keep warm.
Remove forks from the roast and cut away kitchen twine. Slice into 1/2” thick slices. Arrange on a platter, top with warm caper sauce, and serve.