Preheat oven to 200°C. Cut peppers in half, lengthwise, brush with olive oil and season with salt and pepper. Bake for approximately 30 minutes, until tender.
Remove the peppers from the oven. Place them in a bowl and cover with cling wrap. Allow the peppers to rest for 15 minutes.
Prepare the dressing by placing all the ingredients in a jar. Cover and shake vigorously.
After 15 minutes, remove the peppers from the bowl and peel off the skin. Cut the peeled peppers into long strips and set aside.
On a baking sheet brushed with olive oil, add the peppers, garlic, parsley, olives and capers. Season with salt and pepper. Place the feta cheese slices on top and drizzle with the remaining olive oil. Bake for 10-12 minutes, until the cheese softens and becomes slightly colored.
Remove the peppers from the oven; pour the dressing and serve.