Place vegetables on hot grill rack and grill until just tender, turning occasionally (time will vary for each vegetable, so just pull them off the grill and transfer back to the baking sheet as they finish cooking).
When fire is medium - hot (you can hold your hand 5 inches above rack 3 to 4 seconds), place roulades on lightly oiled grill grates directly over the fire and grill, uncovered, turning occasionally, until seared on all sides, about 15 minutes.