Preheat the oven to 425 degrees F. Cut the zucchini into half-moons, cube the eggplant, chunk the bell peppers, and slice the red onion into wedges.
Toss the vegetables on a large rimmed sheet pan with ¼ cup olive oil, the oregano, salt, and pepper until evenly coated.
Roast
Nestle the feta slabs and cherry tomatoes among the vegetables. Place the lemon halves cut-side down on the pan. Spread everything in a single layer so it chars instead of warming.
Roast for 22 to 25 minutes, until the peppers blister and the edges turn golden. Let the pan cool for about 10 minutes until just warm.
Dress and Toss
Squeeze the soft roasted lemon halves into a small jar. Add the 2 tablespoons olive oil, red wine vinegar, and minced garlic, then shake to combine.
Scrape the roasted vegetables and feta into a serving bowl. Scatter the olives over the top, drizzle on the dressing, finish with the fresh dill, and toss gently. Serve warm or at room temperature.
Notes
Roast the lemon: Caramelized roasted lemon juice is mellow and round, never sharp. Do not skip it.
Single layer: A crowded pan warms up the vegetables. Use two pans if needed so everything browns.
Block feta only: Pre-crumbled feta is coated to stay dry and will not soften the same way on the pan.
Make-ahead: Keeps in an airtight container up to 4 days and tastes even better as it sits. Bring to room temperature before serving.