Set out 6 (8-inch) metal or wooden skewers. If you are using wooden skewers, be sure to soak them in water for 30 minutes before using.
Place a medium frying pan over medium-low heat. Add 1/4 cup olive oil and heat until hot, but not smoking. Add the bread crumbs. Stir constantly and cook until golden, about 5 minutes. The mixture should be moist, but not wet. Remove from the heat and place the bread crumbs in a bowl. Add the caciocavallo, currants, pine nuts, parsley and egg and gently mix together.
Preheat grill or broiler.
Spread the veal slices out onto a clean work surface. Season with salt and pepper. Spoon equal amounts of the bread crumb stuffing into the center of each veal piece, gently patting the stuffing down. Roll each veal piece into a small roll.
Make the kebabs: Force a skewer through the center of an onion slice, a bay leaf, and a veal roll. Repeat, in the same order, 2 more times. Finish each kebab with 1 last bay leaf and onion slice. Make sure all the ingredients are pressed snugly together.
Brush the kebabs with extra-virgin olive oil and cook over a preheated grill or broiled until tender and golden brown, about 5 minutes per side.
To serve, drizzle with extra-virgin olive oil and a squeeze of lemon.
Garnish with parsley.
Recipe courtesy of Mario Batali