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 and set aside.
Trim lamb leg of excess fat. Unroll roast and apply some of the marinade inside. Roll back up, tie roast with twine, and apply marinade to the surface. Place into a baking dish, cover with plastic wrap and marinate for 4-8 hours in the refrigerator.
Preheat grill for medium heat. If you are using a chagrilll unit, set it up for indirect cooking as shown above.
Remove lamb leg from refrigerator. Let stand for 30 minutes at room temperature Thread roast lengthwise onto the rotisserie skewer (follow manufacturer’s recommendations). Center and secure tightly with the rotisserie forks.
Season lamb with 1 1/2 teaspoons 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, use heat resistant gloves to carefully remove the lamb roast from the grill with the fork and rod still intact. Place onto a clean cutting board and tent with aluminum foil. Let the lamb rest for 10-15 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.