Preheat the oven to 425 degrees. Position two racks evenly spaced in the oven.
Put the bell peppers, fennel, eggplants, and red onion in a large bowl, add 1/2 cup olive oil, 1 tablespoon salt, and 1 teaspoon black pepper, and toss. Divide the vegetables between two sheet pans and spread in one layer. Roast for 45 minutes, tossing occasionally.
Meanwhile, heat 3 tablespoons of olive oil over medium heat in a 14- to 16-inch paella pan or large (11-inch) Dutch oven, such as Le Creuset. Add the yellow onions and saute for 6 to 8 minutes, until tender. Add the garlic and saffron and cook for one minute. Add the rice and cook for 2 minutes, stirring to coat the rice with oil. Place the jarred peppers (including their liquid) and paprika in the bowl of a food processor fitted with the steel blade and process until pureed. Pour the mixture into the paella pan, stirring to combine, and bring to a boil. Add 1 cup of the hot stock and 2 teaspoons salt and cook uncovered over medium heat for 6 to 8 minutes, stirring occasionally, until the liquid is mostly absorbed, as you would cook risotto. Continue to cook the rice over medium heat for about 20 minutes, stirring in 1 cup of hot stock at a time whenever the liquid is absorbed, until the rice is al dente
Add the vegetables to the paella, add one more cup of stock, and stir carefully. If the paella is dry, add more hot stock. Off the heat, stir in the Manchego cheese, olives, and scallions. Taste for seasonings and serve hot.