Prepare the stuffing for the steak: Preheat the broiler and place the peppers cut-side down on a foil-lined broiler pan. Broil until the skin is charred, 8 to 10 minutes. Transfer to a bowl, cover with a plate and set aside until cool enough to handle. Peel the peppers with your fingers or a paring knife. If necessary, lightly rinse to remove any remaining skin and pat dry.
Preheat the oven to 425 degrees. Heat the olive oil in a large skillet over medium heat. Add the leek and garlic and cook until soft, about 5 minutes. Remove from the heat, add the parsley and season with salt and pepper. Let cool.
Gently pound the steak with the flat side of a mallet or heavy skillet until 1/4 inch thick. Lay out on a cutting board with the long side facing you and season with salt and pepper. Place the roasted peppers evenly over the meat, leaving a 1-inch border all around. Top with the cheese slices, then the leek mixture. Roll the meat away from you into a tight cylinder, tucking in the filling as you roll.
Make the crust: Mix the breadcrumbs, rosemary, parsley, horseradish, olive oil, 1/2 teaspoon salt, and pepper to taste in a medium bowl until moistened. Brush the steak roll with a bit of olive oil and press the breadcrumb mixture over the top and sides. Tie the roll with twine in three or four places, making sure it's not too tight (you want the crust to stay intact).
Place the steak roll on a rack in a roasting pan and roast until the crust is golden and a thermometer inserted into the center registers 130 degrees for medium-rare, about 45 minutes. Transfer to a cutting board and let rest 15 minutes. Carefully cut off the twine, then slice the roll crosswise into 1-inch pieces.