Preheat broiler. Place pepper and tomatoes on a baking sheet, drizzle with about 2 tbsp. oil, season with salt and pepper, and broil, turning the pepper 3–4 times, until pepper is charred and tomatoes are soft, 12–15 minutes. Set tomatoes aside and transfer pepper to a small bowl. Cover bowl with plastic and set aside. When pepper is cool, remove and discard seeds and veins, then peel, coarsely chop, and set aside.
Coarsely chop tomatoes and set aside (do not mix with peppers). Heat 2 tbsp. oil in a large skillet over medium-high heat. Add shallots and cook, stirring, until fragrant, about 2 minutes. Add olives, anchovies, and peppers and cook, stirring, for 30 seconds. Add tomatoes, cook for 30 seconds more, remove from heat, and season with salt and pepper. Set filling aside to cool.
Preheat oven to 400°. Heat a grill pan over high heat. Lay fish out flat, brush skin with oil, season with salt and pepper, then fold closed into original shape. Grill, turning once, about 1 minute per side, then transfer fish to a clean surface. Open fish, then spoon a quarter of the filling into each one. Fold each fish closed and transfer to a large baking dish. Bake stuffed fish until they flake easily, about 7 minutes, then remove from oven, cover with foil, and keep warm.
Meanwhile, heat remaining 2 tbsp. oil in large skillet over medium heat. Add leeks and 2 tbsp. water. Cook, stirring frequently, until leeks are soft and pan almost dry, 5–8 minutes. Season leeks with salt and pepper and set aside.
Place lemon juice, wine, and shallots in a medium saucepan. Bring to a boil over high heat and reduce liquid by three-quarters, about 5 minutes. Lower heat to medium-low, add saffron, gradually whisk in butter, and season with salt and pepper. Divide leeks between 4 plates. Arrange fish over leeks, then spoon sauce around and serve.