Preheat the oven to 400 degrees F. Lay out 4 pieces of parchment paper, 16 inches long and the width of your roll.
Toss the peppers, celery, leek and shallot with 1 tablespoon of the oil, 1/4 teaspoon salt, and pepper to taste. Divide evenly and place on one half of each parchment piece.
Toss the shrimp with the remaining tablespoon oil, the thyme, herbs de Provence and salt to taste. Divide evenly and put on top of the vegetables on the parchment. Put a lemon round on each and drizzle each with 1 teaspoon of wine or water.
Fold the parchment paper over the ingredients, crimping and folding to seal, making parchment packages. Arrange the packages on a baking pan and bake until the shrimp are cooked through, 10 to 15 minutes. Cut a slit in each packet to release the steam, then open the packets. Drizzle each with olive oil and sprinkle with parsley.