Heat 1 tablespoon olive oil in a medium skillet over medium-high heat. Add the bell pepper, garlic, shallot, thyme, 1/2 teaspoon salt and a few grinds of pepper. Cook until the bell pepper is tender, 6 to 8 minutes. Stir in the vinegar, scraping up any browned bits from the bottom of the pan; cook until mostly evaporated, about 1 minute. Add the heavy cream and bring to a boil, then reduce to a simmer. Cook, stirring occasionally, until slightly thickened, about 2 minutes; discard the thyme. Transfer the mixture to a blender and puree; season with salt and pepper and add up to 1 more teaspoon vinegar, if needed.
Preheat a grill to high and generously oil the grates. Rub the fish with 1 tablespoon olive oil and season with salt and pepper. Rub the asparagus with the remaining 1 tablespoon olive oil and season with salt and pepper. Grill the fish skin-side down until the skin is marked and crisp, about 3 minutes. Carefully flip and grill until just cooked through, 1 to 2 more minutes. Grill the asparagus, turning occasionally, until charred in spots, 4 to 5 minutes.
Spoon the pepper sauce onto plates. Top with the fish and asparagus; sprinkle with the parsley.